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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.
2001 (English)In: Proceedings of the 2001 European Control Conference, 2001, 1840-1845 p.Conference paper, Published paper (Refereed)
Abstract [en]

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
2001. 1840-1845 p.
Keyword [en]
Identification methods, Estimation
National Category
Engineering and Technology Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-90806OAI: oai:DiVA.org:liu-90806DiVA: diva2:616403
Conference
2001 European Control Conference, Porto, Portugal, September, 2001
Available from: 2013-04-16 Created: 2013-04-07 Last updated: 2013-04-16

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Ljung, Lennart

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