Accuracy Analysis of the Frisch Scheme for Identifying Errors-in-Variables Systems
2007 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 52, no 6, 985-997 p.Article in journal (Refereed) Published
Several estimation methods have been proposedfor identifying errors-in-variables systems, where both input andoutput measurements are corrupted by noise. One of the promisingapproaches is the so-called Frisch scheme. This paper providesan accuracy analysis of the Frisch scheme applied to system iden-tification. The estimates of the system parameters and the noisevariances are shown to be asymptotically Gaussian distributed.An explicit expression for the covariance matrix of the asymptoticdistribution is given as well. Numerical simulations support thetheoretical results. A comparison with the Cramér–Rao lowerbound is also given in the examples, and it is shown that the Frischscheme gives a performance close to the Cramér–Rao bound forlarge signal-to-noise ratios (SNRs).
Place, publisher, year, edition, pages
2007. Vol. 52, no 6, 985-997 p.
Errors-in-variables, system identification
Computer and Information Science
IdentifiersURN: urn:nbn:se:uu:diva-13118DOI: 10.1109/TAC.2007.899005ISI: 000247353300002OAI: oai:DiVA.org:uu-13118DiVA: diva2:40888