The Frisch scheme in dynamic system identification
Automatica (Journal of IFAC) - Identification and system parameter estimation
Survey paper: Errors-in-variables methods in system identification
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Analysis of a Covariance Matching Method for Discrete-Time Errors-in-Variables Identification
SSP '07 Proceedings of the 2007 IEEE/SP 14th Workshop on Statistical Signal Processing
A covariance matching approach for identifying errors-in-variables systems
Automatica (Journal of IFAC)
ACC'09 Proceedings of the 2009 conference on American Control Conference
Sensor array processing based on subspace fitting
IEEE Transactions on Signal Processing
Large sample properties of separable nonlinear least squares estimators
IEEE Transactions on Signal Processing
Non-parametric identification of viscoelastic materials from wave propagation experiments
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Hi-index | 22.15 |
A system identification method for errors-in-variables problems based on covariance matching was recently proposed. In the first step, a small amount of covariances of noisy input-output data are computed, and then a parametric model is fitted to these covariances. In this paper, the method is further analyzed and the asymptotic accuracy of the parameter estimates is derived. An explicit algorithm for computing the asymptotic covariance matrix of the parameter estimates is given, and the identification method is shown to be asymptotically statistically efficient assuming that the given information is the computed covariances. As an important byproduct, an efficient algorithm is presented for computing the covariance matrix of the computed input-output covariances.