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Identification Theory and Single Realization Behaviour
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1987 (English)Report (Other academic)
Abstract [en]

It is customary to use the w.p.l limit and the asymptotic distribution (or asymptotic covariance matrix) as an accuracy measure in system identification. Experiment Design and the choice of estimation techniques may be decided upon, using this covariance expression. If we are going to make just one experiment, we may ask about the rationale for such decisions. How do the properties of my particular data set relate to the (then esoteric and imaginary) asymptotic distribution. In this contribution we discuss how the usual probabilistic environment of the identification problem relates to the single-realization behaviour of the resulting models.

Place, publisher, year, edition, pages
Linköping: Linköping University , 1987. , 3 p.
Series
LiTH-ISY-I, ISSN 8765-4321 ; 879
Keyword [en]
Asymptotic, System identification, Experiment design
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-104164OAI: oai:DiVA.org:liu-104164DiVA: diva2:694894
Available from: 2014-02-08 Created: 2014-02-08 Last updated: 2014-02-08

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Ljung, Lennart

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CiteExportLink to record
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