ARX (AutoRegressive models with eXogenous variables) are the simplest models within the equation error family but are endowed with many practical advantages concerning both their estimation and their predictive use. On the other hand the (implicit) assumption of noise–free inputs and of outputs affected by an additive colored noise whose spectrum is defined only by the model poles can be considered as non realistic when all measures are affected by additive errors. This paper considers the family of ARX + noise models that describe ARX processes whose measures are affected by additive white noise. The identification of these models is then mapped into the problem of identifying errors–in–variables models in the context of the Frisch scheme and a specific identification algorithm is described. A Monte Carlo simulation confirms the good results that can be obtained with the whole procedure.

Identification of ARX models with noisy input and output / R. Diversi; R. Guidorzi; U. Soverini. - ELETTRONICO. - (2007), pp. 4073-4078. (Intervento presentato al convegno 9th European Control Conference (ECC' 07) tenutosi a Kos, Grecia nel 2-5 Luglio 2007).

Identification of ARX models with noisy input and output

DIVERSI, ROBERTO;GUIDORZI, ROBERTO;SOVERINI, UMBERTO
2007

Abstract

ARX (AutoRegressive models with eXogenous variables) are the simplest models within the equation error family but are endowed with many practical advantages concerning both their estimation and their predictive use. On the other hand the (implicit) assumption of noise–free inputs and of outputs affected by an additive colored noise whose spectrum is defined only by the model poles can be considered as non realistic when all measures are affected by additive errors. This paper considers the family of ARX + noise models that describe ARX processes whose measures are affected by additive white noise. The identification of these models is then mapped into the problem of identifying errors–in–variables models in the context of the Frisch scheme and a specific identification algorithm is described. A Monte Carlo simulation confirms the good results that can be obtained with the whole procedure.
2007
Proceedings of the 9th European Control Conference
4073
4078
Identification of ARX models with noisy input and output / R. Diversi; R. Guidorzi; U. Soverini. - ELETTRONICO. - (2007), pp. 4073-4078. (Intervento presentato al convegno 9th European Control Conference (ECC' 07) tenutosi a Kos, Grecia nel 2-5 Luglio 2007).
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/11585/46611
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