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

Authors:
Juan C. Agüero;Cristian R. Rojas;Håkan Hjalmarsson;Graham C. Goodwin
Affiliations:
PRC Centre for Complex Dynamics Systems and Control, School of Electrical Engineering and Computer Science, The University of Newcastle, Australia;ACCESS Linnaeus Center, School of Electrical Engineering, KTH - Royal Institute of Technology, Sweden;ACCESS Linnaeus Center, School of Electrical Engineering, KTH - Royal Institute of Technology, Sweden;PRC Centre for Complex Dynamics Systems and Control, School of Electrical Engineering and Computer Science, The University of Newcastle, Australia
Venue:
Automatica (Journal of IFAC)
Year:
2012

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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.