TY - GEN
T1 - Adaptive weighting least-squares estimation of initial residuals
AU - Zhang, Yuming
AU - Walcott, Bruce L.
AU - Wu, Lin
PY - 1992
Y1 - 1992
N2 - Selection of initial residuals affects parameter estimation. Until now, the mean of the residuals was widely employed as an estimate of initial residuals. In this paper, the statistics of the conventional method (i.e., using the mean of residuals as an estimate of initial residuals) are investigated. It is shown that the statistics of the conventional method depend directly upon the parameters to be estimated and are quite poor in some cases. This behavior underlines the importance of initial residual estimation. In order to obtain a practical alternative to the conventional method, an adaptive estimate of the initial residuals is proposed. It is proven that the statistics of the adaptive estimate do not depend upon the parameters to be estimated and can posses excellent qualities for a variety of system parameters. Simulations illustrating the excellent properties of the statistics of the adaptive estimate and the poor properties of the statistics of the conventional method are included.
AB - Selection of initial residuals affects parameter estimation. Until now, the mean of the residuals was widely employed as an estimate of initial residuals. In this paper, the statistics of the conventional method (i.e., using the mean of residuals as an estimate of initial residuals) are investigated. It is shown that the statistics of the conventional method depend directly upon the parameters to be estimated and are quite poor in some cases. This behavior underlines the importance of initial residual estimation. In order to obtain a practical alternative to the conventional method, an adaptive estimate of the initial residuals is proposed. It is proven that the statistics of the adaptive estimate do not depend upon the parameters to be estimated and can posses excellent qualities for a variety of system parameters. Simulations illustrating the excellent properties of the statistics of the adaptive estimate and the poor properties of the statistics of the conventional method are included.
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U2 - 10.23919/acc.1992.4792771
DO - 10.23919/acc.1992.4792771
M3 - Conference contribution
AN - SCOPUS:0027037720
SN - 0780302109
SN - 9780780302105
T3 - Proceedings of the American Control Conference
SP - 3345
EP - 3349
BT - Proceedings of the American Control Conference
T2 - Proceedings of the 1992 American Control Conference
Y2 - 24 June 1992 through 26 June 1992
ER -