On adaptive smoothing of empirical transfer function estimates

The determination of the right resolution parameter when estimating frequen cy functions of linear systems is a trade-off between bias and variance. Tr aditional non-parametric approaches, like "window-closing" employ a global resolution parameter - the window width - that is tuned by ad hoc methods, usually visual inspection of the results. This paper suggests a method that tunes such parameters by an automatic procedure. A further benefit is that the tuning can be performed locally, i.e., that different resolutions can be used in different frequency bands. The ideas are based on local polynomi al regression and a;data-driven bandwidth selector. The advantages of the p roposed method are illustrated in numerical examples. (C) 2000 Elsevier Sci ence Ltd. All rights reserved.