A least-squares based algorithm for transfer function identification

A new least-squares based method is proposed with a view to attaining the estimation consistency of transfer function models irrespective of noise dynamics. The special structure of an introduced vector of the transfer function parameters enables calculation of the coloured-noise-induced bias, which can eventually result in unbiased parameter estimates via bias correction. It is demonstrated that the proposed method belongs to the family of the weighted instrumental variables methods while it also presents a simple yet efficient technique to compose a special type of instrument. The theoretical analysis is supported by numerical results