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- Hjalmarsson, Håkan, 1962-, et al.
(författare)
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A Geometric Approach to Variance Analysis in System Identification : Theory and Nonlinear Systems
- 2007
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Ingår i: PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTRO. - 9781424414970 ; , s. 5092-5097
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Konferensbidrag (refereegranskat)abstract
- This paper addresses the problem of quantifying the model error ("variance-error") in estimates of dynamic systems. It is shown that, under very general conditions, the asymptotic (in data length) covariance of an estimated system property (represented by a smooth function of estimated system parameters) can be interpreted in terms of an orthogonal projection of a certain function gamma, associated with the property of interest, onto a subspace determined by the model structure and experimental conditions. An explicit method to construct a suitable gamma, in such a way that the individual impacts of model structure, model order and experimental conditions become visible, is presented. The technique is used to derive asymptotic variance expressions for a Hammerstein model and a nonlinear regression problem.
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