TY - GEN
T1 - An alternative method for stochastic systems identification
AU - Zheng, Wei Xing
PY - 2001
Y1 - 2001
N2 - An alternative method is developed for stochastic systems identification in the presence of coloured noise. Central to this method is that the noise covariance vector, which determines the bias in the ordinary least-squares (LS) estimator, is estimated in the way of making use of delayed plant outputs rather than delayed plant inputs. This is very different from the other existing bias-eliminated least-squares (BELS) methods. While achieving estimation unbiasedness, the developed method has algorithmic advantages over the prefiltering based BELS method. Moreover, its performance is comparable to the other BELS methods. Numerical results well correspond to theoretical predictions.
AB - An alternative method is developed for stochastic systems identification in the presence of coloured noise. Central to this method is that the noise covariance vector, which determines the bias in the ordinary least-squares (LS) estimator, is estimated in the way of making use of delayed plant outputs rather than delayed plant inputs. This is very different from the other existing bias-eliminated least-squares (BELS) methods. While achieving estimation unbiasedness, the developed method has algorithmic advantages over the prefiltering based BELS method. Moreover, its performance is comparable to the other BELS methods. Numerical results well correspond to theoretical predictions.
UR - https://www.scopus.com/pages/publications/84904342720
U2 - 10.1109/ISSPA.2001.950238
DO - 10.1109/ISSPA.2001.950238
M3 - Conference Paper
AN - SCOPUS:84904342720
SN - 0780367030
SN - 9780780367036
T3 - 6th International Symposium on Signal Processing and Its Applications, ISSPA 2001 - Proceedings; 6 Tutorials in Communications, Image Processing and Signal Analysis
SP - 683
EP - 686
BT - 6th International Symposium on Signal Processing and Its Applications, ISSPA 2001 - Proceedings; 6 Tutorials in Communications, Image Processing and Signal Analysis
PB - IEEE Computer Society
T2 - 6th International Symposium on Signal Processing and Its Applications, ISSPA 2001
Y2 - 13 August 2001 through 16 August 2001
ER -