Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/26473

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Title
Non-stationary stochastic embedding for transfer function estimation
Author/Creator
Goodwin, Graham Clifford;  Braslavsky, Julio H.;  Seron, M. M.
Description
This paper presents a consistent framework for the quantification of noise and undermodelling errors in transfer function model estimation. We use the, so-called, “stochastic embedding” approach, in which both noise and undermodelling errors are treated as stochastic processes. In contrast to previous applications of stochastic embedding, in this paper we represent the undermodelling as a multiplicative error characterised by random walk processes in the frequency domain. The benefit of the present formulation is that it significantly simplifies the estimation of the parameters of the embedded process yielding a closed-form expression for the model error quantification. Simulation and experimental examples illustrate how the random walks effectively capture typical cases of undermodelling found in practice, including underdamped modes. The examples also show how to use the method as a tool in the determination of model order and pole location in fixed denominator model structures.
Relation
Automatica Vol. 38, Issue 1, p. 47-62
Relation
http://dx.doi.org/10.1016/S0005-1098(02)00135-8
Date
2002
Publisher
Elsevier Science Ltd
Keyword(s)
System identification;  Error estimation;  Stochastic modelling;  Process identification;;  Least-squares estimation;  Random walk processes
Resource Type
journal article
Identifier
http://hdl.handle.net/1959.13/26473
Identifier
ISSN:0005-1098
Reviewed
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Subject
"Automatica"
 
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