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  5. Consistent Impulse-Response Estimation and System Realization From Noisy Data

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Article
English
2008

Consistent Impulse-Response Estimation and System Realization From Noisy Data

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English
2008
IEEE Transactions on Signal Processing
Vol 56 (7)
DOI: 10.1109/tsp.2008.917425

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Guido De Roeck
Guido De Roeck

University Of Leuven

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Edwin Reynders
Rik Pintelon
Guido De Roeck

Abstract

A novel method for the estimation of a finite part of the impulse response is presented. The method is consistent in case the measured output data are prone to colored noise. The combination of Kung's realization algorithm yields a consistent system identification algorithm that is particularly useful for the identification of systems with uncoupled deterministic and stochastic dynamics. This algorithm is called IREAR. A detailed linear sensitivity analysis of the impulse response estimation and Kung's realization algorithms yields novel error and covariance formulae for the estimated impulse response and system matrices and the poles and frequency-response functions that result from the identified system description.

How to cite this publication

Edwin Reynders, Rik Pintelon, Guido De Roeck (2008). Consistent Impulse-Response Estimation and System Realization From Noisy Data. IEEE Transactions on Signal Processing, 56(7), pp. 2696-2705, DOI: 10.1109/tsp.2008.917425.

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Publication Details

Type

Article

Year

2008

Authors

3

Datasets

0

Total Files

0

Language

English

Journal

IEEE Transactions on Signal Processing

DOI

10.1109/tsp.2008.917425

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