A generalized instrumental variable estimation method for errors-in-variables identification problems

被引：56
|
作者：
Soderstrom, Torsten [1 ]
机构：
[1] Uppsala Univ, Dept Informat Technol, Div Syst & Control, SE-75105 Uppsala, Sweden
来源：
AUTOMATICA | 2011年 / 47卷 / 08期
基金：
瑞典研究理事会;
关键词：
System identification; Errors-in-variables models; Linear systems; Covariance functions; Covariance matrix; FRISCH SCHEME; SYSTEM-IDENTIFICATION; ACCURACY ANALYSIS;
D O I：
10.1016/j.automatica.2011.05.010
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The errors-in-variables identification problem concerns dynamic systems whose input and output variables are affected by additive noise. Several estimation methods have been proposed for identifying dynamic errors-in-variables models. In this paper it is shown how a number of common methods for errors-in-variables methods can be put into a general framework, resulting into a Generalized Instrumental Variable Estimator (GIVE). Various computational aspects of GIVE are presented, and the asymptotic distribution of the parameter estimates is derived. (C) 2011 Elsevier Ltd. All rights reserved.
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页码：1656 / 1666
页数：11
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