Closed-Loop System Identification with Modifications of the Instrumental Variable Method

Least-squares method is the most popular method for parameter estimation. It is easy applicable, but it has considerable drawback. Under well-known conditions in the presence of noise, the LS method produces asymptotically biased and inconsistent estimates. One way to overcome this drawback is the implementation of the instrumental variable method. In this paper several modifications of this method for closed-loop system identification are considered and investigated. The covariance matrix of the instrumental variable estimates is discussed. A simulation is carried out in order to illustrate the obtained results.

• Type: Journal
• Year: 2010
• Where: INFORMATICALT
• Authors: Nasko Atanasov, Alexander Ichtev
• Keywords: Communications, INFORMATICALT 2010, Instrumental Variable, Instrumental Variable Method, Least-squares Method