Asymptotic variance expressions for estimated frequency functions

@article{Xie2001AsymptoticVE,
  title={Asymptotic variance expressions for estimated frequency functions},
  author={Liang-Liang Xie and Lennart Ljung},
  journal={IEEE Trans. Automat. Contr.},
  year={2001},
  volume={46},
  pages={1887-1899}
}
Expressions for the variance of an estimated frequency function are necessary for many issues in model validation and experiment design. A general result is that a simple expression for this variance can be obtained asymptotically as the model order tends to in nity. This expression shows that the variance is inversely proportional to the signal-to-noise ratio frequency by frequency. Still, for low order models the actual variance may be quite di erent. This has also been pointed out in several… CONTINUE READING
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