A generalised instrumental variable estimator for multivariable errors-in-variables identification problems

DOI10.1080/00207179.2011.647086MaRDI QIDQ5745576zbMATH OpenOpenAlexFDO

Authors Torsten Söderström

Publication date 30 January 2014

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2011.647086

zbMATH Keywords

covariance functionscovariance matrixerrors-in-variables modelslinear systemssystem identification

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• A bias correction method for identification of linear dynamic errors-in-variables models
• A generalized instrumental variable estimation method for errors-in-variables identification problems
• An improved bias-compensation approach for errors-in-variables model identification
• ARMA models, their Kronecker indices and their McMillan degree
• Canonical structures in the identification of multivariable systems
• Errors-in-variables methods in system identification
• Extending the Frisch scheme for errors-in-variables identification to correlated output noise
• Frequency-domain system identification using non-parametric noise models estimated from a small number of data sets
• scientific article; zbMATH DE number 5620939 (Why is no real title available?)
• scientific article; zbMATH DE number 1748536 (Why is no real title available?)
• Invariants and canonical forms for systems structural and parametric identification
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Optimization with respect to covariance sequence parameters
• The Frisch scheme in dynamic system identification
• Transfer function estimation from noisy input and output data

Cited in

(10)

• Set-membership errors-in-variables identification of MIMO linear systems
• Recursive parameter estimation algorithm for multivariate output-error systems
• An instrumental variable estimator for mixed indicators: analytic derivatives and alternative parameterizations
• A unified framework for EIV identification methods when the measurement noises are mutually correlated
• Identification of multivariable dynamic errors-in-variables system with arbitrary inputs
• The Frisch scheme in multivariable errors-in-variables identification
• Identification of EIV models by compensated PEM
• Identification of errors in variables linear state space models using iterative principal component analysis
• A condition for the identification of multivariate models with binary instruments
• A generalized instrumental variable estimation method for errors-in-variables identification problems

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