On the accuracy of a covariance matching method for continuous-time errors-in-variables identification

An analysis of a covariance matching method for continuous-time errors-in-variables system identification from discrete-time data is made. In the covariance matching method, the noise-free input signal is not explicitly modeled and only assumed to be a stationary process. The asymptotic normalized covariance matrix, valid for a large number of data and a small sampling interval, is derived. This involves the evaluation of a covariance matrix of estimated covariance elements and estimated derivatives of such elements, and large parts of the paper are devoted to this task. The latter covariance matrix consists of two parts, where the first part contains integrals that are approximations of Riemann sums, and the second part depends on the measurement noise variances. (C) 2013 Elsevier Ltd. All rights reserved.