Improved parameter estimation by noise compensation in the time-scale domain

It was shown recently that parameter estimation can be performed directly in the time-scale domain by isolating regions wherein the prediction error can be attributed to the error of individual dynamic model parameters [1]. Based on these single-parameter equations of the prediction error, individual model parameters error can be estimated for iterative parameter estimation. An added benefit of this parameter estimation method, besides its unique convergence characteristics, is the added capacity for direct noise compensation in the time-scale domain. This paper explores this benefit by introducing a noise compensation method that estimates the distortion by noise of the prediction error in the time-scale domain and incorporates that as a confidence factor to bias the estimation of individual parameters error. This method is shown to improve the precision of the estimated parameters when the confidence factors accurately represent the noise distortion of the prediction error. (C) 2010 Elsevier B.V. All rights reserved.