Extending the Frisch scheme for errors-in-variables identification to correlated output noise

International Journal of Adaptive Control and Signal Processing

Volumn 22, Issue 1, 2008, Pages 55-73

  Söderström, Torsten ^a  

^a UPPSALA UNIVERSITY   (Sweden)

Author keywords

Bias eliminating least squares; Correlated noise; Errors in variables; Frisch scheme; System identification

Indexed keywords

ERROR ANALYSIS; LEAST SQUARES APPROXIMATIONS;

BIAS-ELIMINATING LEAST SQUARES; CORRELATED NOISE; ERRORS-IN-VARIABLES; FRISCH SCHEME;

ACOUSTIC VARIABLES CONTROL;

EID: 39849088343     PISSN: 08906327     EISSN: 10991115     Source Type: Journal    
DOI: 10.1002/acs.961     Document Type: Article

References (17)

1. Ljung L. System Identification - Theory for the User (2nd edn). Prentice-Hall: Upper Saddle River, NJ, U.S.A., 1999.
2. Söderström T, Stoica P. System Identification. Prentice-Hall: Hemel Hempstead, U.K., 1989.
3. Van Huffel S (ed.). Recent Advances in Total Least Squares Techniques and Errors-in-Variables Modelling. SIAM: Philadelphia, PA, U.S.A., 1997.
4. Van Huffel S, Lemmerling Ph (eds). Total Least Squares and Errors-in-Variables Modelling. Analysis, Algorithms and Applications. Kluwer: Dordrecht, The Netherlands, 2002.
5. Fuller WA. Measurement Error Models. Wiley: New York, NY, 1987.
6. Söderström T. Errors-in-variables methods in system identification. 14th IFAC Symposium on System Identification, Newcastle, Australia, 29-31 March 2006, invited plenary paper.
7. Söderström T, Soverini U, Mahata K. Perspectives on errors-in-variables estimation for dynamic systems. Signal Processing 2002; 82(8):1139-1154.
8. Frisch R. Statistical confluence analysis by means of complete regression systems. Technical Report 5, University of Oslo, Economics Institute, Oslo, Norway, 1934.
9. Beghelli S, Guidorzi RP, Soverini U. The Frisch scheme in dynamic system identification. Automatica 1990; 26:171-176.
10. Diversi R, Guidorzi R, Soverini U. A new criterion in EIV identification and filtering applications. 13th IFAC Symposium on System Identification, Rotterdam, The Netherlands, 27-29 August 2003.
11. Söderström T. Accuracy analysis of the Frisch estimates for identifying errors-in-variables systems. 44th IEEE CDC/ECC 2005, Seville, Spain, 12-15 December 2005.
12. Soverini U, Söderström T. Identification methods of dynamic systems in presence of input noise. Proceedings of the SYSID 2000, 12th IFAC Symposium on System Identification, Santa Barbara, California, 21-23 June 2000.
13. Zheng WX. Transfer function simulation from noisy input and output data. International Journal of Adaptive Control and Signal Processing 1998; 12:365-380.
14. Stoica P, Söderström T. A useful input parameterization for optimal experiment design. IEEE Transactions on Automatic Control 1982; AC-27:736-738.
15. Hong M, Söderström T, Zheng WX. A simplified form of the bias-eliminating least squares method for errorsin-variables identification. IEEE Transactions on Automatic Control, 2006, submitted.
16. Söderström T. Identification of stochastic linear systems in presence of input noise. Automatica 1981; 17:713-725.
17. Söderström T, Hong M, Zheng WX. Convergence properties of bias-eliminating algorithms for errors-in-variables identification. International Journal of Adaptive Control and Signal Processing 2005; 19(9):703-722.