Transfer Function Parameter Interval Estimation Using Recursive Least Squares in the Time and Frequency Domains

P.-O. Gutman
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P.-O. Gutman: Technion—Israel Institute of Technology, Faculty of Agricultural Engineering

Chapter 7 in Bounding Approaches to System Identification, 1996, pp 101-118 from Springer

Abstract: Abstract A bank of recursive least squares (RLS) estimators is proposed for the estimation of the uncertainty intervals of the parameters of an equation error model (or RLS model), where the equation error is assumed to lie between a known upper and lower bound. It is shown that the off-line least squares method gives the maximum and minimum parameter values that could have produced the recorded input-output sequence. By modifying the RLS estimator in two ways, it is possible to recursively compute inner and outer bounds of the uncertainty intervals. It is shown that the inner bound is asymptotically tight. It is demonstrated that transfer function parameter intervals can also be estimated, by applying the method to measured frequency function data.

Keywords: Discrete Fourier Transform; Equation Error; Recursive Little Square; Uncertainty Interval; Robust Controller (search for similar items in EconPapers)
Date: 1996
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DOI: 10.1007/978-1-4757-9545-5_7

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