KMS Of Academy of mathematics and systems sciences, CAS
Strongly consistent coefficient estimate for errors-in-variables models | |
Chen, HF; Yang, JM | |
2005-06-01 | |
发表期刊 | AUTOMATICA |
ISSN | 0005-1098 |
卷号 | 41期号:6页码:1025-1033 |
摘要 | For the single-input-single-output (SISO) errors-in-variables system it is assumed that the system input is an ARMA process and that the driven noise of the system input and the observation noise are jointly Gaussian. The two-dimensional observation made on system input and output is represented as a two-dimensional (2D) ARMA system of minimum phase driven by a sequence of 2D i.i.d. Gaussian random vectors (innovation representation). It is shown that the resulting ARMA system is identifiable, i.e., its coefficients are uniquely defined under reasonable conditions. Recursive algorithms are proposed for estimating coefficients of the ARMA representation including those contained in the original SISO system. The estimates are proved to be convergent to the true values with probability one and the convergence rate is derived a, well. The theoretical results are justified by numerical simulation. (c) 2005 Elsevier Ltd. All rights reserved. |
关键词 | errors-in-variables ARMA identifiability strong consistency convergence rate |
DOI | 10.1016/j.automatica.2004.12.007 |
语种 | 英语 |
WOS研究方向 | Automation & Control Systems ; Engineering |
WOS类目 | Automation & Control Systems ; Engineering, Electrical & Electronic |
WOS记录号 | WOS:000229281700011 |
出版者 | PERGAMON-ELSEVIER SCIENCE LTD |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/1265 |
专题 | 系统科学研究所 |
通讯作者 | Chen, HF |
作者单位 | Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China |
推荐引用方式 GB/T 7714 | Chen, HF,Yang, JM. Strongly consistent coefficient estimate for errors-in-variables models[J]. AUTOMATICA,2005,41(6):1025-1033. |
APA | Chen, HF,&Yang, JM.(2005).Strongly consistent coefficient estimate for errors-in-variables models.AUTOMATICA,41(6),1025-1033. |
MLA | Chen, HF,et al."Strongly consistent coefficient estimate for errors-in-variables models".AUTOMATICA 41.6(2005):1025-1033. |
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