This paper deals with the identification of FIR models corrupted by white input noise and colored output noise. An identification algorithm that exploits the properties of both the dynamic Frisch scheme and the high-order Yule-Walker (HOYW) equations is proposed. It is shown how the HOYW equations allow to define a selection criterion for identifying the input noise variance (and then the FIR coefficients) within the Frisch locus of solutions. The proposed approach does not require any a priori knowledge about the input and output noise variances. The algorithm performance is assessed by means of Monte Carlo simulations.
Identification of noisy input-output FIR models with colored output noise / Barbieri, Matteo; Diversi, Roberto. - ELETTRONICO. - 53:2(2020), pp. 901-906. (Intervento presentato al convegno 21st IFAC World Congress tenutosi a Berlin, Germany, tenuto in modalità online causa COVID nel 11-17 July 2020) [10.1016/j.ifacol.2020.12.850].
Identification of noisy input-output FIR models with colored output noise
Barbieri, Matteo
;Diversi, Roberto
2020
Abstract
This paper deals with the identification of FIR models corrupted by white input noise and colored output noise. An identification algorithm that exploits the properties of both the dynamic Frisch scheme and the high-order Yule-Walker (HOYW) equations is proposed. It is shown how the HOYW equations allow to define a selection criterion for identifying the input noise variance (and then the FIR coefficients) within the Frisch locus of solutions. The proposed approach does not require any a priori knowledge about the input and output noise variances. The algorithm performance is assessed by means of Monte Carlo simulations.File | Dimensione | Formato | |
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