DocumentCode
930237
Title
Choice of Weighting for Averaged Nonparametric Transfer Function Estimates
Author
Heath, W.P.
Author_Institution
Univ. of Manchester, Manchester
Volume
52
Issue
10
fYear
2007
Firstpage
1914
Lastpage
1920
Abstract
The statistical properties of nonparametric transfer function estimates formed via the weighted sum of empirical transfer function estimates are considered. In the case that the system input is considered deterministic, it is shown that the weighting corresponding to the classical averaged periodogram estimate is optimal. A similar asymptotic result is derived for the case where the input is considered stochastic.
Keywords
estimation theory; frequency response; spectral analysis; statistical analysis; transfer functions; frequency response; nonparametric identification; nonparametric transfer function estimation; periodogram estimate; spectral estimation; statistical properties; weighted sum; Control systems; Discrete Fourier transforms; Equations; Fourier transforms; Frequency; Gaussian noise; Heat transfer; Stochastic processes; Stochastic resonance; Transfer functions; Frequency response; nonparametric identification; spectral estimation;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.2007.906216
Filename
4349196
Link To Document