Frequency domain maximum likelihood estimation of linear dynamic errors-in-variables models

DOI10.1016/J.AUTOMATICA.2006.10.004MaRDI QIDQ880412zbMATH OpenOpenAlexFDO

Authors Rik Pintelon, Johan Schoukens

Publication date 15 May 2007

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2006.10.004

zbMATH Keywords

maximum likelihooderrors-in-variablesfrequency domaindiscrete-time modelscontinuous-time models[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Cram%EF%BF%BD%EF%BF%BDr--Rao+lower+bound&go=Go Cram��r--Rao lower bound]Gauss--Newton minimization scheme

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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Cites work

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• Identification of continuous-time errors-in-variables models
• Identification of dynamic errors-in-variables models
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Cited in

(14)

• Unifying some higher-order statistic-based methods for errors-in-variables model identification
• Errors-in-variables identification using maximum likelihood estimation in the frequency domain
• Maximum likelihood estimation of the dynamic shock-error model
• Errors-in-variables methods in system identification
• Accuracy of linear multiple-input multiple-output (MIMO) models obtained by maximum likelihood estimation
• On the computation and statistical properties of the MLE for the frequency response of NCFs
• Improved parameter bounds for set-membership EIV problems
• On the equivalence of time and frequency domain maximum likelihood estimation
• \(L_{2}\)-optimal identification of MIMO errors-in-variables models from the v-gap geometrical interpretation
• Discussion on: ``Identification of ARX and ARARX models in the presence of input and output noises
• A note on the estimation of real- and complex-valued parameters in frequency domain maximum likelihood identification
• Identification of dynamic errors-in-variables systems with quasi-stationary input and colored noise
• Maximum likelihood identification of noisy input-output models
• The Frisch scheme in multivariable errors-in-variables identification

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