Lattice implementation of the instrumental variable method: Shift and delta operator formulations (Q2563803)

The complete derivation of the multi-channel (multi-experiment) lattice form of the instrumental variable parameter identification method for both the shift operator and the delta operator formulation is presented. Complete derivation for the shift operator is developed for the single channel case. A simple illustrative example is presented, comparing estimates of the model parameters and natural frequencies obtained from the least-squares and the instrumental variable method. The derivation for the delta operator is also developed for the single channel case. The extensions for the multi-channel and vector-channel cases are discussed, for the shift and delta operators, respectively. Finally, complete algorithms with appropriate end conditions are listed. These algorithms are listed in the most general form, i.e. ready for implementation even for the vector-channel structure. The work will be of interest for the specialists working in the area of system identification.