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How accurate can instrumental variable models become?
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Division of Systems and Control. Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Information Technology, Automatic control.
2012 (English)In: System Identification, Environmental Modelling, and Control System Design / [ed] Wang, Liuping; Garnier, Hugues, Springer London, 2012, 3-25 p.Chapter in book (Refereed)
Abstract [en]

This chapter presents and discusses various aspects of what theory predicts in terms of accuracy of instrumental variable estimates. A general derivation of the covariance matrix of the parameter estimates is presented. This matrix is influenced by a number of user choices in the identification method, and it is further discussed how these user choices can be made in order to make the covariance matrix as small as possible in a well-defined sense. The chapter includes also a comparison with the prediction error method, and a discussion of in what situations an optimal instrumental variable method can be statistically efficient.

Place, publisher, year, edition, pages
Springer London, 2012. 3-25 p.
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:uu:diva-164097DOI: 10.1007/978-0-85729-974-1_1Scopus ID: 2-s2.0-84875217388ISBN: 9780857299734 (print)ISBN: 9780857299741 (print)OAI: oai:DiVA.org:uu-164097DiVA: diva2:466401
Available from: 2011-10-19 Created: 2011-12-15 Last updated: 2017-01-04Bibliographically approved

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Söderström, Torsten

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