Optimal instrumental variable estimation and approximate implementations

DOI10.1109/TAC.1983.1103312MaRDI QIDQ3663127zbMATH OpenOpenAlexFDO

Authors 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

consistent estimatorscovariance matrixmultistep procedureoptimal instrumental variable methodparameter estimation

Mathematics Subject Classification ID

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

Cited in

(21)

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

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