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Strongly consistent coefficient estimate for errors-in-variables models
Chen, HF; Yang, JM
2005-06-01
发表期刊AUTOMATICA
ISSN0005-1098
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
DOI10.1016/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
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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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