Optimal instrumental-variable methods for identification of multivariable linear systems

DOI10.1016/0005-1098(83)90058-4zbMath0524.93065OpenAlexW2317385492MaRDI QIDQ594078

Torsten Söderström, Petre Stoica

Publication date: 1983

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(83)90058-4

zbMATH Keywords

parameter estimationcoherent accuracy theoryinstrumental-variable methods

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Multivariable systems, multidimensional control systems (93C35) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (5)

Variance reduction in covariance based realization algorithm with application to closed-loop data ⋮ Choice of models for on-line identification of MIMO stochastic systems ⋮ Realizations of BELS as WIV method in both direct and indirect closed-loop system identification ⋮ On-line parameter and delay estimation of continuous-time dynamic systems ⋮ Selecting the best linear transfer function model

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• Parameter estimation in multivariate stochastic difference equations
• On the use of shift register sequences as instrumental variables for the recursive identification of multivariable linear systems
• A bootstrap method for the statistical estimation of model parameters†

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