Identification of dynamic errors-in-variables models: Approaches based on two-dimensional ARMA modeling of the data (Q1400332)

The authors propose a parametric and non-parametric identification algorithm for a dynamic errors-in-variables model. It is proved that the two-dimensional process composed of the input-output data admits a finite order ARMA representation. The non-parametric method uses the ARMA structure to compute a consistent estimate of the joint spectrum of the input and the output. A Frisch scheme is then employed to extract an estimate of the joint spectrum of the noise free input-output data. This is used for estimating the transfer function. The parametric method exploits the ARMA structure to give estimates of the system parameters. Numerical simulations are performed for explaining the efficacy of the algorithms.