A generalized instrumental variable estimation method for errors-in-variables identification problems

DOI10.1016/j.automatica.2011.05.010zbMath1226.93131OpenAlexW2092433837MaRDI QIDQ642910

Torsten Söderström

Publication date: 27 October 2011

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.05.010

zbMATH Keywords

system identificationlinear systemscovariance matrixerrors-in-variables modelscovariance functions

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12)

Related Items (17)

Robust and nonlinear control literature survey (No. 27) ⋮ New consistent methods for order and coefficient estimation of continuous-time errors-in-variables fractional models ⋮ Identification of errors-in-variables ARX models using modified dynamic iterative PCA ⋮ Errors-in-variables identification using maximum likelihood estimation in the frequency domain ⋮ Hierarchical least squares parameter estimation algorithm for two-input Hammerstein finite impulse response systems ⋮ Recursive identification of errors-in-variables systems based on the correlation analysis ⋮ A confirmatory factor analysis approach for addressing the errors-in-variables problem with colored output noise ⋮ Novel parameter estimation of autoregressive signals in the presence of noise ⋮ Extended accuracy analysis of a covariance matching approach for identifying errors-in-variables systems ⋮ Adaptive control and signal processing literature survey (No. 27) ⋮ Benefits of variable structure techniques for parameter estimation in stochastic systems using least squares method and instrumental variables ⋮ A generalised instrumental variable estimator for multivariable errors-in-variables identification problems ⋮ Identification of EIV models by compensated PEM ⋮ Frequency domain identification of FIR models in the presence of additive input-output noise ⋮ A unified framework for EIV identification methods when the measurement noises are mutually correlated ⋮ Recursive least squares estimation algorithm applied to a class of linear-in-parameters output error moving average systems ⋮ Identification of Continuous-Time Fractional Models from Noisy Input and Output Signals

Cites Work

• Accuracy analysis of a covariance matching approach for identifying errors-in-variables systems
• On covariance function tests used in system identification
• The Frisch scheme in dynamic system identification
• Relations between bias-eliminating least squares, the Frisch scheme and extended compensated least squares methods for identifying errors-in-variables systems
• A covariance matching approach for identifying errors-in-variables systems
• Instrumental variable methods for system identification
• Accuracy analysis of bias-eliminating least squares estimates for errors-in-variables systems
• Extending the Frisch scheme for errors-in-variables identification to correlated output noise
• Transfer function estimation from noisy input and output data
• A bias correction method for identification of linear dynamic errors-in-variables models
• Accuracy Analysis of the Frisch Scheme for Identifying Errors-in-Variables Systems
• Errors-in-variables methods in system identification
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