Efficiency analysis of the simplified refined instrumental variable method for continuous-time systems
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Abstract: In this paper, we derive the asymptotic Cram'er-Rao lower bound for the continuous-time output error model structure and provide an analysis of the statistical efficiency of the Simplified Refined Instrumental Variable method for Continuous-time systems (SRIVC) based on sampled data.It is shown that the asymptotic Cram'er-Rao lower bound is independent of the intersample behaviour of the noise-free system output and hence only depends on the intersample behaviour of the system input. We have also shown that, at the converging point of the SRIVC algorithm, the estimates do not depend on the intersample behaviour of the measured output. It is then proven that the SRIVC estimator is asymptotically efficient for the output error model structure under mild conditions. Monte Carlo simulations are performed to verify the asymptotic Cram'er-Rao lower bound and the asymptotic covariance of the SRIVC estimates.
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Cited in
(8)- scientific article; zbMATH DE number 38956 (Why is no real title available?)
- Consistency analysis of refined instrumental variable methods for continuous-time system identification in closed-loop
- Consistent identification of continuous-time systems under multisine input signal excitation
- Consistency analysis of the simplified refined instrumental variable method for continuous-time systems
- Instrumental variable‐based multi‐innovation gradient estimation for nonlinear systems with scarce measurements
- Refined instrumental variable methods for unstable continuous-time systems in closed-loop
- Theoretical and practical aspects of the convergence of the SRIVC estimator for over-parameterized models
- Consistency analysis and bias elimination of the instrumental-variable-based state variable filter method
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