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

被引：11

作者：

Soderstrom, Torsten ^{[1
]}

Irshad, Yasir ^{[2
]}

Mossberg, Magnus ^{[2
]}

Zheng, Wei Xing ^{[3
]}

机构：

[1] Uppsala Univ, Div Syst & Control, Dept Informat Technol, SE-75105 Uppsala, Sweden

[2] Karlstad Univ, Dept Engn & Phys, SE-65188 Karlstad, Sweden

[3] Univ Western Sydney, Sch Comp & Math, Penrith, NSW 1797, Australia

来源：

AUTOMATICA | 2013年 / 49卷 / 10期

基金：

瑞典研究理事会; 澳大利亚研究理事会;

关键词：

Continuous-time systems; Errors-in-variables systems; Parameter estimation; Covariance matching; Accuracy analysis; MODEL;

D O I：

10.1016/j.automatica.2013.07.010

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：2982 / 2993

页数：12

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