Choice of weighting for averaged non-parametric transfer function estimates

W.P. Heath

doi:10.1109/CDC.2004.1428777

Choice of weighting for averaged non-parametric transfer function estimates

W.P. Heath

University of Manchester

Research output: Contribution to conference › Paper › peer-review

Abstract

We consider the statistical properties of nonparametric transfer function estimates formed via the weighted sum of empirical transfer function estimates. In the case that the system input is considered deterministic, we show 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.

Original language	Unknown
Pages	833-838
Number of pages	6
DOIs	https://doi.org/10.1109/CDC.2004.1428777
Publication status	Published - 16 May 2005
Externally published	Yes
Event	2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601) - Nassau, Bahamas Duration: 14 Dec 2004 → 17 Dec 2004

Conference

Conference	2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601)
Country/Territory	Bahamas
City	Nassau
Period	14/12/04 → 17/12/04

Access to Document

10.1109/CDC.2004.1428777

Cite this

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