Prediction error estimation methods

被引：184

作者：

Ljung, L ^{[1
]}

机构：

[1] Linkoping Univ, Dept Elect Engn, SE-58183 Linkoping, Sweden

来源：

CIRCUITS SYSTEMS AND SIGNAL PROCESSING | 2002年 / 21卷 / 01期

关键词：

system identification; estimation; prediction; prediction errors; maximum likelihood; convergence; asymptotic covariance; closed loop identification;

D O I：

10.1007/BF01211648

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

This contribution describes a common family of estimation methods for system identification, viz, prediction-error methods. The basic ideas behind these methods are described. An overview of typical model structures to which they can be applied is also given, as well as the most fundamental asymptotic properties of the resulting estimates.

引用

页码：11 / 21

页数：11

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Sjoberg, J ;

Zhang, QH ;

Ljung, L ;

Benveniste, A ;

Delyon, B ;

Glorennec, PY ;

Hjalmarsson, H ;

Juditsky, A .

AUTOMATICA, 1995, 31 (12) :1691-1724

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