- Title
- The effect of regularization on variance error
- Creator
- Ninness, Brett; Hjalmarsson, Hakan
- Relation
- IEEE Transactions on Automatic Control Vol. 49, Issue 7, p. 1142-1147
- Publisher Link
- http://dx.doi.org/10.1109/TAC.2004.831089
- Publisher
- Institute of Electrical and Electronics Engineers (IEEE)
- Resource Type
- journal article
- Date
- 2004
- Description
- This note addresses the problem of quantifying the effect of noise induced error(so called “variance error”) in system estimates found via a regularised cost criterion. It builds on recent work by the authors in which expressions for nonregularised criterions are derived which are exact for finite model order. Those new expressions were established to be very different to previous quantifications that are widely used but based on asymptotic in model order arguments. A key purpose of this note is to expose a rapprochement between these new finite model order, and the preexisting asymptotic model order quantifications. In so doing, a further new result is established. Namely, that variance error in the frequency domain is dependent on the choice of the point about which regularization is affected.
- Subject
- orthonormal bases; parameter estimation; system identification; variance error
- Identifier
- http://hdl.handle.net/1959.13/30109
- Identifier
- uon:2659
- Identifier
- ISSN:0018-9286
- Rights
- Copyright © 2004 IEEE. Reprinted from IEEE Transactions on Automatic Control, 49, 7, 1142-1147. This material is posted here with permission of the IEEE. Such permission of the IEEE does not in any way imply IEEE endorsement of any of the University of Newcastle's products or services. Internal or personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution must be obtained from the IEEE by writing to pubs-permissions@ieee.org. By choosing to view this document, you agree to all provisions of the copyright laws protecting it.
- Language
- eng
- Full Text
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