Maximum likelihood identification of noisy input-output models

DOI10.1016/j.automatica.2006.09.009zbMath1136.93045OpenAlexW2054730713MaRDI QIDQ875481

Umberto Soverini, Roberto Diversi, Roberto P. Guidorzi

Publication date: 13 April 2007

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2006.09.009

zbMATH Keywords

interpolationsystem identificationerrors-in-variables modelsCràmer-Rao lower boundmaximum likelihood identification

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 (16)

Bias correction-based recursive estimation for dual-rate output-error systems with sampling noise ⋮ Recursive identification for dynamic linear systems from noisy input-output measurements ⋮ New consistent methods for order and coefficient estimation of continuous-time errors-in-variables fractional models ⋮ Identification of ARX and ARARX models in the presence of input and output noises ⋮ Identification of errors-in-variables ARX models using modified dynamic iterative PCA ⋮ Identification of dynamic errors-in-variables systems with quasi-stationary input and colored noise ⋮ Errors-in-variables identification using maximum likelihood estimation in the frequency domain ⋮ The Frisch scheme in multivariable errors-in-variables identification ⋮ Estimation of ARMAX processes with noise corrupted output signal observations ⋮ Frequency domain sample maximum likelihood estimation for spatially dependent parameter estimation in PDEs ⋮ A bias-corrected estimator for nonlinear systems with output-error type model structures ⋮ Improved parameter bounds for set-membership EIV problems ⋮ Unifying some higher-order statistic-based methods for errors-in-variables model identification ⋮ L₂-optimal identification of MIMO errors-in-variables models from the v-gap geometrical interpretation ⋮ Errors-in-variables methods in system identification ⋮ Auxiliary model based recursive and iterative least squares algorithm for autoregressive output error autoregressive systems

Cites Work

• On covariance function tests used in system identification
• Identification of stochastic linear systems in presence of input noise
• The Cramér--Rao lower bound for noisy input--output systems.
• Perspectives on errors-in-variables estimation for dynamic systems
• Optimal errors-in-variables filtering
• Multiple delays estimation for chirp signals using structured total least squares
• Algorithms for global total least squares modelling of finite multivariable time series
• Identification methods in a unified framework
• Identification of linear systems with input and output noise: the Koopmans-Levin method
• Transfer function estimation from noisy input and output data
• Global total least squares modeling of multivariable time series
• Robust parametric transfer function estimation using complex logarithmic frequency response data
• Application of structured total least squares for system identification and model reduction
• Block-Toeplitz/Hankel Structured Total Least Squares
• The geometry of weighted low-rank approximations
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