Title :
On the stability of equation-error estimates of all-pole systems
Author :
López-Valcarce, Roberto ; Dasgupta, Soura
Author_Institution :
Dept. of Electr. & Comput. Eng., Iowa Univ., Iowa City, IA, USA
Abstract :
It is well known that the standard equation-error (EE) method for the identification of linear systems yields biased estimates if the data are noise corrupted. Due to this bias, the resulting estimate can be unstable in some cases, depending on the spectral characteristics of the input and the noise, the signal-to-noise ratio (SNR), and the unknown system. The set of all-pole linear systems whose equation-error estimate is stable for all wide sense stationary inputs and white measurement noise is investigated. Some results concerning the structure of this set are given.
Keywords :
error analysis; identification; linear systems; numerical stability; poles and zeros; spectral analysis; white noise; SNR; all-pole linear systems; biased estimates; equation-error estimates stability; linear system identification; noise corrupted data; signal-to-noise ratio; spectral characteristics; unstable estimate; white measurement noise; wide sense stationary inputs; Equations; Filters; Linear systems; Noise measurement; Polynomials; Signal to noise ratio; Stability; Symmetric matrices; White noise; Yield estimation;
Journal_Title :
Signal Processing Letters, IEEE
