Least-squares estimation of a class of frequency functions : A finite sample variance expression

• A new expression for the variance of scalar frequency functions estimated using the least-squares method is presented. The expression is valid for finite sample size and for a class of model structures, which includes finite impulse response, Laguerre and Kautz models, when the number of estimated parameters coincides with the number of excitation frequencies of the input. The expression gives direct insight into how excitation frequencies and amplitudes affect the accuracy of frequency function estimates. With the help of this expression, a severe sensitivity of the accuracy with respect to the excitation frequencies is exposed. The relevance of the expression when more excitation frequencies are used is also discussed.

Ämnesord

TEKNIK OCH TEKNOLOGIER  -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)

ENGINEERING AND TECHNOLOGY  -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)

Nyckelord

frequency function

model variance

FIR models

Laguerre models

Kautz models

periodic signals

system-identification

confidence-regions

orthonormal bases

experiment design

input-design

models

error

SRA - ICT

SRA - Informations- och kommunikationsteknik

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)