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.

引用

页码：1656 / 1666

页数：11

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