A RECURSIVE FRISCH SCHEME ALGORITHM FOR COLOURED OUTPUT NOISE

J. G. Linden, K. J. Burnham

Abstract

A recursive (adaptive) algorithm for the identification of dynamical linear errors-in-variables systems in the case of coloured output noise is developed. The input measurement noise variance as well as the auto-covariance elements of the coloured output noise sequence are determined via two separate Newton algorithms. The model parameter estimates are obtained by a recursive bias-compensating instrumental variables algorithm with past noisy inputs as instruments, thus allowing the compensation for the explicitly computed bias at each discrete-time instance. The performance of the developed algorithm is demonstrated via simulation.

References

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Paper Citation


in Harvard Style

G. Linden J. and J. Burnham K. (2008). A RECURSIVE FRISCH SCHEME ALGORITHM FOR COLOURED OUTPUT NOISE . In Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 978-989-8111-32-6, pages 163-170. DOI: 10.5220/0001496701630170


in Bibtex Style

@conference{icinco08,
author={J. G. Linden and K. J. Burnham},
title={A RECURSIVE FRISCH SCHEME ALGORITHM FOR COLOURED OUTPUT NOISE},
booktitle={Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2008},
pages={163-170},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001496701630170},
isbn={978-989-8111-32-6},
}


in EndNote Style

TY - CONF
JO - Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - A RECURSIVE FRISCH SCHEME ALGORITHM FOR COLOURED OUTPUT NOISE
SN - 978-989-8111-32-6
AU - G. Linden J.
AU - J. Burnham K.
PY - 2008
SP - 163
EP - 170
DO - 10.5220/0001496701630170