Title :
Noisy input-output system identification-the Koopmans-Levin method revisited
Author_Institution :
Sch. of Quantitative Methods & Math. Sci., Univ. of Western Sydney, Penrith South DC, NSW, Australia
Abstract :
In the paper the problem of identifying noisy input-output systems is studied. The paper revisits the Koopmans-Levin (KL) method by investigating its sensitivity with respect to the ratio between the variances of the input noise and the output noise. In particular, the sensitivity analysis suggests that the assumption of the given noise variance ratio can be relaxed to that of a rough range of this ratio. Thus the practical applicability of the KL method is greatly extended. Computer simulations confirm the theoretical predictions.
Keywords :
digital simulation; linear systems; noise; parameter estimation; sensitivity analysis; stochastic systems; Koopmans-Levin method; computer simulations; noise variance ratio; noisy input-output system identification; sensitivity analysis; Additive white noise; Australia; Computer simulation; Noise measurement; Noise robustness; Sensitivity analysis; Signal processing; Signal to noise ratio; Stochastic systems; System identification;
Conference_Titel :
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
Print_ISBN :
0-7803-7516-5
DOI :
10.1109/CDC.2002.1184573
