Closed-Loop System Identification with Modifications of the Instrumental Variable Method
Volume 21, Issue 2 (2010), pp. 159–174
Pub. online: 1 January 2010
Type: Research Article
Received
1 December 2008
1 December 2008
Accepted
1 April 2009
1 April 2009
Published
1 January 2010
1 January 2010
Abstract
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.