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Variance Properties of a Two-Step ARX Estimation Procedure
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
2003 (English)In: European Journal of Control, ISSN 0947-3580, E-ISSN 1435-5671, Vol. 9, no 4, 422-430 p.Article in journal (Refereed) Published
Abstract [en]

In this contribution, the variance properties of a two-step ARX estimation scheme are discussed. An expression for the covariance of the final low-order model is calculated and it is shown how this covariance can be minimised (at least for high-model orders). The implication of the results is that identification of the dynamics of a system can very easily be performed with standard linear least squares (two times), even if the measurement noise is heavily colored. A numerical example is included, where this two-step method gives a variance which is close (but not equal) to the Cramèr-Rao lower bound. Moreover, the point estimate of the covariance is close to the one obtained through Monte Carlo simulations.

Place, publisher, year, edition, pages
2003. Vol. 9, no 4, 422-430 p.
Keyword [en]
Identification, Model reduction, Variance
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-46382DOI: 10.3166/ejc.9.422-430OAI: oai:DiVA.org:liu-46382DiVA: diva2:267278
Note

© 2003 EUCA.

Available from: 2009-10-11 Created: 2009-10-11 Last updated: 2013-07-17

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Tjernström, FredrikLjung, Lennart

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