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Authors: J. G. Linden and K. J. Burnham

Affiliation: Control Theory and Applications Centre, Coventry University, United Kingdom

Keyword(s): Adaptive Estimation, Errors-in-varibles, Recursive Identification, System Identification.

Related Ontology Subjects/Areas/Topics: Informatics in Control, Automation and Robotics ; Signal Processing, Sensors, Systems Modeling and Control ; System Identification ; Time Series and System Modeling

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.

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Paper citation in several formats:
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 4: ICINCO; ISBN 978-989-8111-32-6; ISSN 2184-2809, SciTePress, pages 163-170. DOI: 10.5220/0001496701630170

@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 4: ICINCO},
year={2008},
pages={163-170},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001496701630170},
isbn={978-989-8111-32-6},
issn={2184-2809},
}

TY - CONF

JO - Proceedings of the Fifth International Conference on Informatics in Control, Automation and Robotics - Volume 4: ICINCO
TI - A RECURSIVE FRISCH SCHEME ALGORITHM FOR COLOURED OUTPUT NOISE
SN - 978-989-8111-32-6
IS - 2184-2809
AU - G. Linden, J.
AU - J. Burnham, K.
PY - 2008
SP - 163
EP - 170
DO - 10.5220/0001496701630170
PB - SciTePress

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