Variance Properties of a Two-Step ARX Estimation Procedure
2001 (English)Report (Other academic)
In this contribution we discuss some variance properties of a two-step ARX estimation scheme. An expression for the covariance of the final low order model is calculated and it is discussed how one should minimize this covariance. The implication of the results isthat identification of the dynamics of a system could very easily be performed with standard linear least squares (two times), even if the measurement noise is heavily colored. We also show a numerical example, where this two-step estimation scheme gives a variance which is close (but not equal) to the the Cramér-Rao lower bound. Moreover, we show that the point estimate of the covariance is close to the one obtained through Monte Carlo simulations.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2001. , 8 p.
LiTH-ISY-R, ISSN 1400-3902 ; 2393
Identification methods, Estimation
IdentifiersURN: urn:nbn:se:liu:diva-55804ISRN: Variance Properties of a Two-Step ARX Estimation ProcedureOAI: oai:DiVA.org:liu-55804DiVA: diva2:316527