Choice of weighting for averaged nonparametric transfer function estimates

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    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 derived for the case where the input is considered stochastic. © 2007 IEEE.
    Original languageEnglish
    Pages (from-to)1914-1920
    Number of pages6
    JournalIEEE Transactions on Automatic Control
    Issue number10
    Publication statusPublished - Oct 2007


    • Frequency response
    • Nonparametric identification
    • Spectral estimation


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