On the variance analysis of identified linear MIMO models

N. Everitt; G. Bottegal; C.R. Rojas; H. Hjalmarsson

doi:10.1109/CDC.2015.7402414

On the variance analysis of identified linear MIMO models

N. Everitt, G. Bottegal, C.R. Rojas, H. Hjalmarsson

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

2 Citations (Scopus)

Abstract

We study the accuracy of identified linear time-invariant multi-input multi-output (MIMO) systems. Under a stochastic framework, we quantify the effect of the spatial correlation and choice of model structure on the covariance matrix of the transfer function estimates. In particular, it is shown how the variance of a transfer function estimate depends on signal properties and model orders of other modules composing the MIMO system.

Original language	English
Title of host publication	2015 IEEE 54th Annual Conference on Decision and Control (CDC) December 15-18, 2015. Osaka, Japan
Editors	Y. Ohta
Place of Publication	Piscataway
Publisher	Institute of Electrical and Electronics Engineers
Pages	1447-1452
Number of pages	6
ISBN (Electronic)	9781479978861
DOIs	https://doi.org/10.1109/CDC.2015.7402414
Publication status	Published - 8 Feb 2015
Externally published	Yes
Event	54th IEEE Conference on Decision and Control (CDC 2015) - "Osaka International Convention Center", Osaka, Japan Duration: 15 Dec 2015 → 18 Dec 2015 Conference number: 54 http://www.cdc2015.ctrl.titech.ac.jp/

Conference

Conference	54th IEEE Conference on Decision and Control (CDC 2015)
Abbreviated title	CDC 2015
Country/Territory	Japan
City	Osaka
Period	15/12/15 → 18/12/15
Internet address	http://www.cdc2015.ctrl.titech.ac.jp/

Keywords

Asymptotic variance
Least-squares
Linear MIMO models
System identification

Access to Document

10.1109/CDC.2015.7402414

http://www.mendeley.com/research/variance-analysis-identified-linear-mimo-models

Cite this

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title = "On the variance analysis of identified linear MIMO models",

abstract = "We study the accuracy of identified linear time-invariant multi-input multi-output (MIMO) systems. Under a stochastic framework, we quantify the effect of the spatial correlation and choice of model structure on the covariance matrix of the transfer function estimates. In particular, it is shown how the variance of a transfer function estimate depends on signal properties and model orders of other modules composing the MIMO system.",

keywords = "Asymptotic variance, Least-squares, Linear MIMO models, System identification",

author = "N. Everitt and G. Bottegal and C.R. Rojas and H. Hjalmarsson",

year = "2015",

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doi = "10.1109/CDC.2015.7402414",

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booktitle = "2015 IEEE 54th Annual Conference on Decision and Control (CDC) December 15-18, 2015. Osaka, Japan",

publisher = "Institute of Electrical and Electronics Engineers",

address = "United States",

note = "54th IEEE Conference on Decision and Control (CDC 2015), CDC 2015 ; Conference date: 15-12-2015 Through 18-12-2015",

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Everitt, N, Bottegal, G, Rojas, CR & Hjalmarsson, H 2015, On the variance analysis of identified linear MIMO models. in Y Ohta (ed.), 2015 IEEE 54th Annual Conference on Decision and Control (CDC) December 15-18, 2015. Osaka, Japan. Institute of Electrical and Electronics Engineers, Piscataway, pp. 1447-1452, 54th IEEE Conference on Decision and Control (CDC 2015), Osaka, Japan, 15/12/15. https://doi.org/10.1109/CDC.2015.7402414

On the variance analysis of identified linear MIMO models. / Everitt, N.; Bottegal, G.; Rojas, C.R. et al.
2015 IEEE 54th Annual Conference on Decision and Control (CDC) December 15-18, 2015. Osaka, Japan. ed. / Y. Ohta. Piscataway: Institute of Electrical and Electronics Engineers, 2015. p. 1447-1452.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

TY - GEN

T1 - On the variance analysis of identified linear MIMO models

AU - Everitt, N.

AU - Bottegal, G.

AU - Rojas, C.R.

AU - Hjalmarsson, H.

N1 - Conference code: 54

PY - 2015/2/8

Y1 - 2015/2/8

N2 - We study the accuracy of identified linear time-invariant multi-input multi-output (MIMO) systems. Under a stochastic framework, we quantify the effect of the spatial correlation and choice of model structure on the covariance matrix of the transfer function estimates. In particular, it is shown how the variance of a transfer function estimate depends on signal properties and model orders of other modules composing the MIMO system.

AB - We study the accuracy of identified linear time-invariant multi-input multi-output (MIMO) systems. Under a stochastic framework, we quantify the effect of the spatial correlation and choice of model structure on the covariance matrix of the transfer function estimates. In particular, it is shown how the variance of a transfer function estimate depends on signal properties and model orders of other modules composing the MIMO system.

KW - Asymptotic variance

KW - Least-squares

KW - Linear MIMO models

KW - System identification

U2 - 10.1109/CDC.2015.7402414

DO - 10.1109/CDC.2015.7402414

M3 - Conference contribution

SP - 1447

EP - 1452

BT - 2015 IEEE 54th Annual Conference on Decision and Control (CDC) December 15-18, 2015. Osaka, Japan

A2 - Ohta, Y.

PB - Institute of Electrical and Electronics Engineers

CY - Piscataway

T2 - 54th IEEE Conference on Decision and Control (CDC 2015)

Y2 - 15 December 2015 through 18 December 2015

ER -

On the variance analysis of identified linear MIMO models

Abstract

Conference

Keywords

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Cite this