Properties of non-parametric time-domain methods for estimating transfer functions

The problem of estimating the transfer function of a linear, stochastic system is considered. The transfer function is parametrized as a black box and no given order is chosen a priori. This means that the model orders may increase to infinity when the number of observed data tends to infinity. The consistency and convergence properties of the resulting transfer function estimates are investigated. Asymptotic expressions for the variances and distributions of these estimates are also derived for the case that the model orders increase. It is shown that the variance of the transfer function estimate at a certain frequency is asymptotically given by the noise-to-signal-ratio at that frequency multiplied by the number-of-estimatedparameters to number-of-data-points-ratio. This result is essentially independent of the model structure used.