Iterative instrumental variable method for robust identification of systems

A new off-line method, called the robust iterative instrumental variable method with modified residuals, is presented for robust identification of systems in this paper. It is based on Huber´s minimax principle and the instrumental variable principle. Proof of convergence for the proposed method is given along with some results of simulation. Comparison with both nonrobust methods and robust methods proposed earlier shows that the proposed method provides better accuracy of estimate and speed of convergence