Choice of Weighting for Averaged Nonparametric Transfer Function Estimates

@article{Heath2004ChoiceOW,
  title={Choice of Weighting for Averaged Nonparametric Transfer Function Estimates},
  author={William P. Heath},
  journal={IEEE Transactions on Automatic Control},
  year={2004},
  volume={52},
  pages={1914-1920}
}
The statistical properties of nonparametric transfer function estimates formed via the weighted sum of empirical transfer function estimates are considered. In the case that the system input is considered deterministic, it is shown that the weighting corresponding to the classical averaged periodogram estimate is optimal. A similar asymptotic result is… CONTINUE READING

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