Mean square error of the Empirical Transfer Function Estimator for stochastic input signals

@article{Broersen2004MeanSE,
  title={Mean square error of the Empirical Transfer Function Estimator for stochastic input signals},
  author={Piet M. T. Broersen},
  journal={Automatica},
  year={2004},
  volume={40},
  pages={95-100}
}
The accuracy of the Empirical Transfer Function Estimator (ETFE) with stochastic input has been described with a deterministic and a stochastic approach. The results for bias and variance are di.erent, but the mean square error is in0nite in both approaches. In the deterministic approach where the input is considered as a single realization of a stochastic process, a number of frequencies has no 0nite ETFE estimate. The average number of problematic frequencies will be constant if the number of… CONTINUE READING

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Choice of weighting for averaged non-parametric transfer function estimates

2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601) • 2004
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