A new method for identifying linear dynamic errors-in-variables (EIV) models, whose input and output are affected by additive white noise, is proposed. This approach takes advantage of the properties of both the dynamic Frisch scheme and Yule-Walker equations and allows to identify the system parameters and the noise variances in a congruent way since the estimates assure the positive definiteness of the autocorrelation matrix of the EIV process. The effectiveness of the method has been tested by means of Monte Carlo simulations and compared with those of other EIV identification methods. The proposed procedure is characterized by a good compromise between estimation accuracy and computational efficiency.

Yule-Walker equations in the Frisch scheme solution of errors-in-variables identification problems / R. Diversi; R. Guidorzi; U. Soverini. - ELETTRONICO. - (2006), pp. 391-395. (Intervento presentato al convegno 17th International Symposium on Mathematical Theory of Networks and Systems tenutosi a Kyoto, Giappone nel 24-28 Luglio 2006).

Yule-Walker equations in the Frisch scheme solution of errors-in-variables identification problems

DIVERSI, ROBERTO;GUIDORZI, ROBERTO;SOVERINI, UMBERTO
2006

Abstract

A new method for identifying linear dynamic errors-in-variables (EIV) models, whose input and output are affected by additive white noise, is proposed. This approach takes advantage of the properties of both the dynamic Frisch scheme and Yule-Walker equations and allows to identify the system parameters and the noise variances in a congruent way since the estimates assure the positive definiteness of the autocorrelation matrix of the EIV process. The effectiveness of the method has been tested by means of Monte Carlo simulations and compared with those of other EIV identification methods. The proposed procedure is characterized by a good compromise between estimation accuracy and computational efficiency.
2006
Proceedings of the 17th International Symposium on Mathematical Theory of Networks and Systems
391
395
Yule-Walker equations in the Frisch scheme solution of errors-in-variables identification problems / R. Diversi; R. Guidorzi; U. Soverini. - ELETTRONICO. - (2006), pp. 391-395. (Intervento presentato al convegno 17th International Symposium on Mathematical Theory of Networks and Systems tenutosi a Kyoto, Giappone nel 24-28 Luglio 2006).
R. Diversi; R. Guidorzi; U. Soverini
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/31750
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