Finite record effects of the Errors-In-Variables estimator for linear dynamic systems

Author

Barbe, K. ; Pintelon, Rik ; Vandersteen, Gerd

Author_Institution

Dept. ELEC, Vrije Univ. Brussel, Brussels, Belgium

fYear

2009

fDate

5-7 May 2009

Firstpage

1525

Lastpage

1530

Abstract

The frequency domain errors-in-variables (EIV) estimator for linear dynamic systems is generally formulated as a weighted least square estimator, where the weights used are the estimated noise (co)variances. In this paper, we study the finite record influences on the uncertainty of the EIV estimator for using the estimated weights. Furthermore, we discuss when a significant influence can occur and derive a practical method to circumvent this problem without the need of introducing a parametric noise model.

Keywords

covariance analysis; estimation theory; frequency-domain analysis; least squares approximations; linear systems; signal sampling; errors-in-variables estimator; finite record effect; frequency domain EIV estimator; linear dynamic system; noise covariance estimation; signal sampling; weighted least square estimator; Cost function; Discrete Fourier transforms; Frequency domain analysis; Frequency estimation; Frequency measurement; Gaussian noise; Least squares approximation; Least squares methods; Transfer functions; Uncertainty; Errors-In-Variables; Frequency domain; Leakage; Linear dynamic systems; Weighted Least Squares; windowing;

fLanguage

English

Publisher

ieee

Conference_Titel

Instrumentation and Measurement Technology Conference, 2009. I2MTC '09. IEEE

Conference_Location

Singapore

ISSN

1091-5281

Print_ISBN

978-1-4244-3352-0

Type

conf

DOI

10.1109/IMTC.2009.5168697

Filename

5168697