A weighted total least squares estimator for multivariable systems with nearly maximum likelihood properties

Author

Guillaume, Patrick ; Pintelon, Rik ; Schoukens, Johan

Author_Institution

Mech. Eng. Dept., Vrije Univ., Brussels, Belgium

Volume

47

Issue

4

fYear

1998

fDate

8/1/1998 12:00:00 AM

Firstpage

818

Lastpage

822

Abstract

The aim of the present paper is to develop a parametric estimator for linear time-invariant multivariable systems with nearly maximum likelihood properties. The estimator is based on the total least squares (TLS) method. It can be seen as an “optimally” weighted iterative generalized TLS (GTLS) estimator, combining the nice asymptotic properties of the maximum likelihood (ML) method with the global minimization property of the GTLS estimator

Keywords

iterative methods; least squares approximations; linear systems; maximum likelihood estimation; multivariable systems; singular value decomposition; asymptotic properties; global minimization property; iterative generalized TLS; linear time-invariant multivariable systems; nearly maximum likelihood properties; weighted total least squares estimator; Cost function; Covariance matrix; Equations; Frequency estimation; Least squares approximation; MIMO; Maximum likelihood estimation; Parameter estimation; Polynomials; Yield estimation;

fLanguage

English

Journal_Title

Instrumentation and Measurement, IEEE Transactions on

Publisher

ieee

ISSN

0018-9456

Type

jour

DOI

10.1109/19.744627

Filename

744627