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

作者：Soderstrom Torsten^*

来源：Automatica, 2011, 47(8): 1656-1666.

DOI：10.1016/j.automatica.2011.05.010

• System identification
• Errors-in-variables models
• Linear systems
• Covariance functions
• Covariance matrix

The errors-in-variables identification problem concerns dynamic systems whose input and output variables are affected by additive noise. Several estimation methods have been proposed for identifying dynamic errors-in-variables models. In this paper it is shown how a number of common methods for errors-in-variables methods can be put into a general framework, resulting into a Generalized Instrumental Variable Estimator (GIVE). Various computational aspects of GIVE are presented, and the asymptotic distribution of the parameter estimates is derived.

• 出版日期2011-8