The Use of Nonparametric Noise Models Extracted From Overlapping Subrecords for System Identification

In this paper, we study the asymptotic properties (consistency and asymptotic efficiency) of a frequency-domain errors-in-variables estimator using data extracted from overlapping subrecords. While the classical approach without overlap needs six consecutive periods, we show in this paper that, using overlapping subrecords, consistent estimators can be found with only two periods of the steady state response to a periodic excitation. This is done using overlapping subrecords. Moreover, the system identification procedure developed for data extracted from independent periods is shown to be valid for data extracted from overlapping subrecords. This allows the user to reduce the measurement time considerably without changing the identification procedure.