System and Load Identification.

Graduate Course at Solid Mechanics at Chalmers, Autumn 2000.

 

Assignment 2. Covariance of an MA(1) Parameter

The covariance of the PEM estimate of the parameter c0 of the MA(1) model

y(t) = e0(t) + c0e0(t-1)     (1)

is according to Ljung (p. 286)

Verify this by numerical experiments using 100 realizations of zero-mean white noise sequences  e0 (use MATLAB's randn to generate it). Minimize the prediction error, using the  predictor given by equation (9.26), by numerical means and evaluate the parameter variance in all four possible combinations of: N=10 or 100, and c0=0.5 or 0.9. Compare with expression (2).

 

/TA 2000-11-21