On time and frequency characteristics of weighted least squares estimators applied to nonstationary system identification
关键词: Bandwidth (signal processing) 、 Generalized least squares 、 Non-linear least squares 、 Algorithm 、 Estimator 、 System identification 、 Impulse response 、 Mathematics 、 Mathematical optimization 、 Weighting
摘要: After reviewing the already known "static" characteristics of weighted least squares (WLS) estimators such as effective and equivalent numbers observations, their tracking properties are investigated. Several new "dynamic" WLSE's proposed, like associate impulse response, frequency characteristics, estimation bandwidth delay. It is shown that may serve a convenient basis for comparison WLS corresponding to different weighting sequences, allow seldom raised question how fast parameter variations can be tracked successfully by this type (i.e. what WLSE's)to answered precisely.
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