ON THE IMPACT OF WEIGHTING MATRICES IN SUBSPACE ALGORITHMS

摘要

In this paper some results concerning the asymptotic distribution of the estimates of the transfer function obtained by using subspace methods are given. The discussion centers on the estimation of the transfer function rather than on the estimation of the system matrices, since the transfer function is a system invariant. Therefore the accuracy of the transfer function estimate can be directly used to evaluate the relative efficiency of different methods. The present paper uses the techniques and the asymptotic expressions derived in (Bauer et al., 1999). In particular the effects of certain weighting matrices used in the algorithms are investigated.