Choice of weighting for averaged non-parametric transfer function estimates
Research output: Contribution to conference › Paper › peer-review
Electronic versions
DOI
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 |
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| Pages | 833-838 |
| Number of pages | 6 |
| DOIs | |
| 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) |
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| Country/Territory | Bahamas |
| City | Nassau |
| Period | 14/12/04 → 17/12/04 |