Abstract
The identification of non-parametric impulse response functions (IRFs) from noisy finite-length data records is analysed using the techniques of matrix perturbation theory. Based on these findings, a method for IRF estimation is developed that is more robust than existing techniques, particularly when the input is non-white. Furthermore, methods are developed for computing confidence bounds on the resulting IRF estimates. Monte Carlo simulations are used to assess the capabilities of this new method and to demonstrate its superiority over classical techniques. An application to the identification of dynamic ankle stiffness in humans is presented.
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