Errors-in-Variables Methods in System Identification by Torsten Söderström

Author:Torsten Söderström
Language: eng
Format: epub, pdf
Publisher: Springer International Publishing, Cham

(10.7)

There are ways to impose certain structures of the matrix polynomials; see Sect. 10.4. Among the many possible alternatives to estimate the ARMA coefficients in (10.4), here a well-known procedure, previously used in Durbin (1959), Mayne and Firoozan (1982), is adopted. The idea is to first estimate the innovation process and then take it as a known second input, thus using a linear regression model to estimate and . In order to estimate the innovation , fit an AR model of large order L to the data , i.e.,

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