A weighted total least squares estimator for multivariable systems with nearly maximum likelihood properties

被引：5
|
作者：
Guillaume, P [1 ]
Pintelon, R
Schoukens, J
机构：
[1] Free Univ Brussels, Dept Mech Engn, B-1050 Brussels, Belgium
[2] Free Univ Brussels, Elect Measurement Dept, B-1050 Brussels, Belgium
来源：
IEEE TRANSACTIONS ON INSTRUMENTATION AND MEASUREMENT | 1998年 / 47卷 / 04期
关键词：
errors-in-variables; (generalized) singular value decomposition; (generalized) total least squares; maximum likelihood; multivariable systems; parameter estimation; system identification;
D O I：
10.1109/19.744627
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：
The aim of the present paper is to develop a parametric estimator for linear time-invariant multivariable systems with nearly maximum likelihood properties. The estimator is based on the total least squares (TLS) method. It can be seen as an "optimally" weighted iterative generalized TLS (GTLS) estimator, combining the nice asymptotic properties of the maximum likelihood (ML) method with the global minimization property of the GTLS estimator.
引用
收藏
页码：818 / 822
页数：5
相关论文
共 50 条
  • [31] Maximum Likelihood Whitening Pre-filtered Total Least Squares for Resolving Closely Spaced Signals
    So, C. F.
    Leung, S. H.
    CIRCUITS SYSTEMS AND SIGNAL PROCESSING, 2015, 34 (08) : 2739 - 2747
  • [32] Auxiliary model maximum likelihood least squares-based iterative algorithm for multivariable autoregressive output-error autoregressive moving average systems
    Zhang, Qian
    Wang, Huihui
    Liu, Ximei
    PROCEEDINGS OF THE INSTITUTION OF MECHANICAL ENGINEERS PART I-JOURNAL OF SYSTEMS AND CONTROL ENGINEERING, 2025, 239 (03) : 441 - 463
  • [33] The BAB algorithm for computing the total least trimmed squares estimator
    Lv, Zhipeng
    Sui, Lifen
    JOURNAL OF GEODESY, 2020, 94 (12)
  • [34] Element-wise weighted and structured total least squares problems
    Kukush, A
    Markovsky, I
    Van Huffel, S
    ISAS/CITSA 2004: International Conference on Cybernetics and Information Technologies, Systems and Applications and 10th International Conference on Information Systems Analysis and Synthesis, Vol 2, Proceedings: COMMUNICATIONS, INFORMATION AND CONTROL SYSTEMS, TECHNOLOGIES AND APPLICATIONS, 2004, : 102 - 103
  • [35] Maximum likelihood gradient-based iterative estimation for multivariable systems
    Xia, Huafeng
    Yang, Yongqing
    Ding, Feng
    Xu, Ling
    Hayat, Tasawar
    IET CONTROL THEORY AND APPLICATIONS, 2019, 13 (11) : 1683 - 1691
  • [36] An Efficient Algorithm for Weighted Total Least Squares Method
    Wang J.
    Ni F.
    Zhao J.
    Tongji Daxue Xuebao/Journal of Tongji University, 2021, 49 (05): : 737 - 744
  • [37] Enhancement of Computational Efficiency for Weighted Total Least Squares
    Wang, Jianmin
    Yan, Wenshuai
    Zhang, Qiongyue
    Chen, Liming
    JOURNAL OF SURVEYING ENGINEERING, 2021, 147 (04)
  • [38] SOLUTIONS AND COMPARISON OF MAXIMUM LIKELIHOOD AND FULL-LEAST-SQUARES ESTIMATIONS FOR CIRCLE FITTING
    Ma, Zhenhua
    Ho, K. C.
    Yang, Le
    2009 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOLS 1- 8, PROCEEDINGS, 2009, : 3257 - 3260
  • [39] The filtering based maximum likelihood recursive least squares estimation for multiple-input single-output systems
    Chen, Feiyan
    Ding, Feng
    APPLIED MATHEMATICAL MODELLING, 2016, 40 (03) : 2106 - 2118
  • [40] Improved least squares identification algorithm for multivariable Hammerstein systems
    Wang, Dongqing
    Zhang, Wei
    JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 2015, 352 (11): : 5292 - 5307
12345