Adaptive weighting least-squares estimation of initial residuals

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Scopus citations

Abstract

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.

Original languageEnglish
Title of host publicationProceedings of the American Control Conference
Pages3345-3349
Number of pages5
DOIs
StatePublished - 1992
EventProceedings of the 1992 American Control Conference - Chicago, IL, USA
Duration: Jun 24 1992Jun 26 1992

Publication series

NameProceedings of the American Control Conference
Volume4
ISSN (Print)0743-1619

Conference

ConferenceProceedings of the 1992 American Control Conference
CityChicago, IL, USA
Period6/24/926/26/92

ASJC Scopus subject areas

  • Electrical and Electronic Engineering

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