A generalized instrumental variable estimation method for errors-in-variables identification problems |
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Authors: | Torsten Sö derströ m [Author vitae] |
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Affiliation: | aDivision of Systems and Control, Department of Information Technology, Uppsala University, P O Box 337, SE-75105 Uppsala, Sweden |
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Abstract: | 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. |
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Keywords: | System identification Errors-in-variables models Linear systems Covariance functions Covariance matrix |
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