Nonparametric Estimation of Transfer Functions: Rates of Convergence and Adaptation

The paper deals with estimating the transfer functions of stable linear time-invariant systems under stochastic assumptions. We adopt a nonparametric minimax approach for measuring the estimation accuracy. The quality of an estimator is measured by its worst case error over a family of transfer functions. The families with polynomially and exponentially decaying impulse response sequences are considered. We establish nonasymptotic upper bounds on the accuracy of the least squares estimator for finite impulse response approximation. It is shown that the attainable estimation accuracy is determined essentially by the rate at which the "true" impulse response tends to zero. Lower bounds on the estimation accuracy are presented. An adaptive estimator which does not exploit any a priori information about the "true" system, is developed.

[1]  A. Tsybakov,et al.  Minimax theory of image reconstruction , 1993 .

[2]  E. Hannan,et al.  Autocorrelation, Autoregression and Autoregressive Approximation , 1982 .

[3]  Boris Polyak,et al.  Asymptotic Optimality of the $C_p$-Test for the Orthogonal Series Estimation of Regression , 1991 .

[4]  R. Shibata Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process , 1980 .

[5]  D. Donoho,et al.  Minimax risk over / p-balls for / q-error , 2022 .

[6]  L. Ljung,et al.  Asymptotic properties of the least-squares method for estimating transfer functions and disturbance spectra , 1992, Advances in Applied Probability.

[7]  Richard A. Davis,et al.  Time Series: Theory and Methods , 2013 .

[8]  R. J. Bhansali,et al.  Asymptotically Efficient Selection of the Order by the Criterion Autoregressive Transfer Function , 1986 .

[9]  E. J. Hannan,et al.  REGRESSION, AUTOREGRESSION MODELS , 1986 .

[10]  D. Pollard Convergence of stochastic processes , 1984 .

[11]  M. Talagrand,et al.  Probability in Banach spaces , 1991 .

[12]  I. Johnstone,et al.  Minimax risk overlp-balls forlp-error , 1994 .

[13]  Lennart Ljung,et al.  Worst-case identification in l/sub 1/ for f.i.r linear systems , 1995, Proceedings of 1995 34th IEEE Conference on Decision and Control.

[14]  A. Nemirovskii,et al.  On nonparametric estimation of functions satisfying differential inequalities , 1992 .

[15]  O. Lepskii Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates , 1992 .

[16]  Wolfgang Härdle,et al.  Nonparametric Curve Estimation from Time Series , 1989 .

[17]  Lennart Ljung,et al.  System Identification: Theory for the User , 1987 .

[18]  E. Hannan,et al.  The Statistical Theory of Linear Systems. , 1990 .

[19]  L. Ljung,et al.  Asymptotic properties of black-box identification of transfer functions , 1985 .

[20]  D. Politis,et al.  Statistical Estimation , 2022 .

[21]  László Gerencsér,et al.  AR(infty) estimation and nonparametric stochastic complexity , 1992, IEEE Trans. Inf. Theory.

[22]  P. Massart,et al.  Risk bounds for model selection via penalization , 1999 .