Title: Uncertainty of transfer function modelling using prior estimated noise models
Authors: Pintelon, R ×
Schoukens, Joannes
Rolain, Y #
Issue Date: Oct-2003
Publisher: Pergamon-elsevier science ltd
Series Title: Automatica vol:39 issue:10 pages:1721-1733
Abstract: Assuming "small" model errors (unmodelled dynamics and/or nonlinear distortions) and "large" signal-to-noise ratios we derive in this paper explicit expressions for the covariance matrix of a frequency domain estimator using prior estimated noise models. These analytic expressions (i) give a clear insight in the behaviour of the covariance matrix as a function of the signal-to-noise ratio, the unmodelled dynamics and the nonlinear distortions, and (ii) allow to predict accurately the order of magnitude of the actual uncertainty of the estimates. The link with the classical prediction error approach is also established. (C) 2003 Elsevier Ltd. All rights reserved.
ISSN: 0005-1098
Publication status: published
KU Leuven publication type: IT
Appears in Collections:ESAT - STADIUS, Stadius Centre for Dynamical Systems, Signal Processing and Data Analytics
× corresponding author
# (joint) last author

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