caa a22 4500 477097359 CHVBK 20180405111531.0 cr unu---uuuuu 170330e19960301xx s 000 0 eng 10.1007/BF01183780 doi (NATIONALLICENCE)springer-10.1007/BF01183780 System identification from noisy measurements by using instrumental variables and subspace fitting [Elektronische Daten] [Mats Cedervall, Petre Stoica] This paper considers the estimation of the parameters of a linear discrete-time system from noise-perturbed input and output measurements. The conditions imposed on the system are fairly general. In particular, the input and output noises are allowed to be auto-correlated and they may be cross-correlated as well. The proposed method makes use of an instrumental variable (IV)-vector to produce a covariance matrix that is pre- and postmultiplied by some prechosen weights. The singular vectors of the so-obtained matrix possess complete information on the system parameters. A weighted subspace fitting (WSF) method is then applied to the aforementioned singular vectors to consistently estimate the parameters of the system. The IV-WSF technique suggested herein is noniterative and easy to implement, and has a small computational burden. The asymptotic distribution of its estimation errors is derived and the result is used to motivate the choice of the weighting matrix in the WSF step and also to predict the estimation accuracy. Numerical examples are included to illustrate the performance achievable by the method. Birkhäuser, 1996 Cedervall Mats Systems and Control Group, Uppsala University, P.O. Box 27, S-751 03, Uppsala, Sweden aut Stoica Petre Systems and Control Group, Uppsala University, P.O. Box 27, S-751 03, Uppsala, Sweden aut Circuits, Systems and Signal Processing Birkhäuser-Verlag 15/2(1996-03-01), 275-290 0278-081X 15:2<275 1996 15 34 https://doi.org/10.1007/BF01183780 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/BF01183780 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Cedervall Mats Systems and Control Group, Uppsala University, P.O. Box 27, S-751 03, Uppsala, Sweden aut NATIONALLICENCE 700 1- Stoica Petre Systems and Control Group, Uppsala University, P.O. Box 27, S-751 03, Uppsala, Sweden aut NATIONALLICENCE 773 0- Circuits, Systems and Signal Processing Birkhäuser-Verlag 15/2(1996-03-01), 275-290 0278-081X 15:2<275 1996 15 34 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer