Title :
Analysis of a Covariance Matching Method for Discrete-Time Errors-in-Variables Identification
Author :
Mossberg, Magnus
Author_Institution :
Department of Electrical Engineering, Karlstad University, Sweden
Abstract :
A covariance matching method for discrete-time errors-in-variables identification is analyzed. The method consists of fitting covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from the noise-corrupted data. An approximative expression for the covariance matrix of the estimated parameter vector is given.
Keywords :
Covariance matrix; Error analysis; Estimation error; Parameter estimation; Stochastic processes; White noise; Errors-in-variables; covariance function; covariance matrix; estimation; identification;
Conference_Titel :
Statistical Signal Processing, 2007. SSP '07. IEEE/SP 14th Workshop on
Conference_Location :
Madison, WI, USA
Print_ISBN :
978-1-4244-1198-6
Electronic_ISBN :
978-1-4244-1198-6
DOI :
10.1109/SSP.2007.4301361
