Asymptotic variance expressions for estimated frequency functions
文献类型：期刊论文
| 作者 | Xie, LL; Ljung, L |
| 刊名 | IEEE TRANSACTIONS ON AUTOMATIC CONTROL
 |
| 出版日期 | 2001-12-01 |
| 卷号 | 46期号:12页码:1887-1899 |
| 关键词 | accuracy asymptotic variance FIR models system identification |
| ISSN号 | 0018-9286 |
| 英文摘要 | Expressions for the variance of an estimated frequency function are necessary for many issues In model validation and experiment design. A general result is that a simple expression for this variance can be obtained asymptotically as the model order tends to infinity. This expression shows that the variance is inversely proportional to the signal-to-noise ratio frequency by frequency. Still, for low order models the actual variance may be quite different. This has also been pointed out in several recent publications. In this contribution we derive an exact expression for the variance, which is not asymptotic in the model order. This expression applies to a restricted class of models: AR-models, as well as fixed pole models with a polynomial noise model. It brings out the character of the simple approximation and the convergence rate to the limit as the model order increases. It also provides nonasymptotic lower bounds for the general case. The calculations are illustrated by numerical examples. |
| WOS研究方向 | Automation & Control Systems ; Engineering |
| 语种 | 英语 |
| WOS记录号 | WOS:000173370600004 |
| 出版者 | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/16018]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Xie, LL |
| 作者单位 | 1.Linkoping Univ, Dept Elect Engn, S-58183 Linkoping, Sweden 2.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Xie, LL,Ljung, L. Asymptotic variance expressions for estimated frequency functions[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2001,46(12):1887-1899. |
| APA | Xie, LL,&Ljung, L.(2001).Asymptotic variance expressions for estimated frequency functions.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,46(12),1887-1899. |
| MLA | Xie, LL,et al."Asymptotic variance expressions for estimated frequency functions".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 46.12(2001):1887-1899. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。