Optimal instrumental variable estimation and approximate implementations

DOI10.1109/TAC.1983.1103312zbMath0515.93055OpenAlexW2158631449MaRDI QIDQ3663127

Petre Stoica, Torsten Söderström

Publication date: 1983

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1983.1103312

zbMATH Keywords

parameter estimationcovariance matrixconsistent estimatorsmultistep procedureoptimal instrumental variable method

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (19)

Open-loop asymptotically efficient model reduction with the Steiglitz-McBride method ⋮ Least-squares, Yule-Walker, and overdetermined Yule—Walker estimation of AR parameters: a Monte Carlo analysis of finite-sample properties ⋮ Instrument variable method based on nonlinear transformed instruments for Hammerstein system identification ⋮ Detecting changes in the ar parameters of a nonstationary arma process ⋮ Optimal instrumental-variable methods for identification of multivariable linear systems ⋮ Variance reduction in covariance based realization algorithm with application to closed-loop data ⋮ Consistency analysis of the simplified refined instrumental variable method for continuous-time systems ⋮ The Box-Jenkins Steiglitz-McBride algorithm ⋮ An instrumental least squares support vector machine for nonlinear system identification ⋮ An improved bias-compensation approach for errors-in-variables model identification ⋮ Direct continuous-time approaches to system identification. Overview and benefits for practical applications ⋮ On the asymptotic accuracy of pseudo-linear regression algorithms ⋮ Efficiency analysis of the simplified refined instrumental variable method for continuous-time systems ⋮ Two-stage IV-based estimation and parametrization selection for linear multivariable identification ⋮ Instrumental variable methods for closed-loop system identification ⋮ Realizations of BELS as WIV method in both direct and indirect closed-loop system identification ⋮ Asymptotic accuracy of the Aitken-Markov estimator ⋮ Some modifications on the refined instrumental variable method† ⋮ An indirect method for transfer function estimation from closed loop data

This page was built for publication: Optimal instrumental variable estimation and approximate implementations