Asymptotic Accuracy of Covariance Function Based Errors-in-variables System Parameter Estimates

被引：0

作者：

Soderstrom, Torsten ^{[1
]}

Mossberg, Magnus ^{[2
]}

机构：

[1] Uppsala Univ, Dept Informat Technol, Div Syst & Control, POB 337, SE-75105 Uppsala, Sweden

[2] Karlstad Univ, Dept Phy & Elect Engn, Karlstad, Sweden

来源：

49TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC) | 2010年

基金：

瑞典研究理事会;

关键词：

FRISCH SCHEME; IDENTIFICATION; INPUT;

D O I：

10.1109/CDC.2010.5717104

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A covariance matching approach for estimating the parameters in errors-in-variables systems is analyzed and the asymptotic accuracy of the parameter estimates is derived. The computation of the asymptotic covariance matrix of the parameter estimates is given in an algorithm and it is shown that the approach is asymptotically statistically efficient in a certain sense. An algorithm for computing the covariance matrix of the input-output covariances is also given.

引用

页码：328 / 333

页数：6

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