Finite Sample Frequency Domain Identification

arXiv:2404.01100v1 Announce Type: cross
Abstract: We study non-parametric frequency-domain system identification from a finite-sample perspective. We assume an open loop scenario where the excitation input is periodic and consider the Empirical Transfer Function Estimate (ETFE), where the goal is to estimate the frequency response at certain desired (evenly-spaced) frequencies, given input-output samples. We show that under sub-Gaussian colored noise (in time-domain) and stability assumptions, the ETFE estimates are concentrated around the true values. The error rate is of the order …

abstract arxiv cs.lg cs.sy domain eess.sy function identification input-output loop math.oc non-parametric parametric perspective sample samples show stat.ml study transfer type