Proceedings ArticleDOI
Analysis of a covariance matching method for continuous-time errors-in-variables identification
Magnus Mossberg
- pp 5511-5515
TLDR
A covariance matching method for continuous-time errors-in-variables identification is analyzed and the derived asymptotic covariance matrix can be used as an important tool for studying the properties of the estimation method.Abstract:
A covariance matching method for continuous-time errors-in-variables identification is analyzed. The method consists of fitting covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from discrete-time data. An expression for the asymptotic covariance matrix of the estimated parameter vector is given. The derived asymptotic covariance matrix can be used as an important tool for studying the properties of the estimation method.read more
Citations
More filters
Journal ArticleDOI
Extended accuracy analysis of a covariance matching approach for identifying errors-in-variables systems
TL;DR: The identification method is shown to be asymptotically statistically efficient assuming that the given information is the computed covariances and an efficient algorithm is presented for computing the covariance matrix of the computed input-output covariance.
Journal ArticleDOI
Covariance Matching for Continuous-Time Errors-in-Variables Problems
TL;DR: A covariance matching approach for continuous-time errors-in-variables problems is considered and it is described how three different systems of equations in the model parameters are obtained and how the parameters are estimated based on these systems of equation.
Journal ArticleDOI
On the accuracy of a covariance matching method for continuous-time errors-in-variables identification
TL;DR: On the accuracy of a covariance matching method for continuous-time errors-in-variables identification, and the importance of knowing the covariance of the input and the destination variables for this identification.
Proceedings ArticleDOI
Continuous-time errors-in-variables system identification through covariance matching without input signal modeling
TL;DR: The continuous-time errors-in-variables system identification problem is studied to use a covariance matching approach in which the input signal is not modeled, allowing for general types of input signals.
On some continuous-time modeling and estimation problems for control and communication
TL;DR: The scope of the thesis is to estimate the parameters of continuous-time models used within control and communication from sampled data with high accuracy and in a computationally efficient way.
References
More filters
Book
Errors-in-Variables Methods in System Identification
TL;DR: The paper gives a survey of errors-in-variables methods in system identification, and a number of approaches for parameter estimation of errors invariables models are presented.
Journal ArticleDOI
Using continuous-time modeling for errors-in-variables identification
TL;DR: In this paper, a continuous-time model is fitted to data consisting of discrete-time noise corrupted input and output measurements, and the noise-free input is modelled as a continuous time ARMA process.
Journal ArticleDOI
The derivative of the exponential matrix with respect to a matrix
TL;DR: The gradient matrix and its extensions have been useful tools in estimation theory as discussed by the authors, and Vetter developed the generalization to matrix-valued functions [4], [8], [9].