On the variance analysis of identified linear MIMO models

Abstract

We study the accuracy of identified linear time-invariant multi-input multi-output (MIMO) systems. Under a stochastic framework, we quantify the effect of the spatial correlation and choice of model structure on the covariance matrix of the transfer function estimates. In particular, it is shown how the variance of a transfer function estimate depends on signal properties and model orders of other modules composing the MIMO system.