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Strongly consistent coefficient estimate for errors-in-variables models

文献类型：期刊论文

作者Chen, HF; Yang, JM
刊名AUTOMATICA
出版日期2005-06-01
卷号41期号:6页码:1025-1033
关键词errors-in-variables ARMA identifiability strong consistency convergence rate
ISSN号0005-1098
DOI10.1016/j.automatica.2004.12.007
英文摘要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.
WOS研究方向Automation & Control Systems ; Engineering
语种英语
WOS记录号WOS:000229281700011
出版者PERGAMON-ELSEVIER SCIENCE LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/1264]  
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
推荐引用方式
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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