On instrumental variable-based methods for errors-in-variables model identification

Stéphane Thil (1) , Marion Gilson (1) , Hugues Garnier (1)

1 CRAN - Centre de Recherche en Automatique de Nancy

In this paper, the problem of identifying stochastic linear discrete-time systems from noisy input/output data is addressed. The input noise is supposed to be white, while the output noise is assumed to be coloured. Some methods based on instrumental variable techniques are studied and compared to a least squares bias compensation scheme with the help of Monte Carlo simulations.

Mots clés: System identification; errors-in-variables; instrumental variable; bias compensation

Domaines: Automatique / Robotique

Stéphane Thil, Marion Gilson, Hugues Garnier. On instrumental variable-based methods for errors-in-variables model identification. 17th IFAC World Congress, 2008, Seoul, South Korea. pp.426-431, ⟨10.3182/20080706-5-KR-1001.0843⟩. ⟨hal-00261403⟩