Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation

Juan C Agüero,Cristian R Rojas,Håkan Hjalmarsson,Graham C Goodwin

doi:10.1016/j.automatica.2012.01.015

Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation

Juan C Agüero, Cristian R Rojas + Show 2 more

https://doi.org/10.1016/j.automatica.2012.01.015

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Journal: Automatica	Publication Date: Feb 24, 2012
Citations: 9

Affiliation: University of Newcastle Australia, KTH Royal Institute of Technology

#Multiple-input Multiple-output Models #Linear Multiple-input Multiple-output + Show 8 more

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Abstract

In this paper, we study the accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation. We present a frequency-domain representation for the information matrix for general linear MIMO models. We show that the variance of estimated parametric models for linear MIMO systems satisfies a fundamental integral trade-off. This trade-off is expressed as a multivariable ‘water-bed’ effect. An extension to spectral estimation is also discussed.

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