Refined instrumental variable identification of continuous-time OE and BJ models from irregularly sampled data

Fengwei Chen (1) , Hugues Garnier (1) , Marion Gilson (1)

1 CRAN - Centre de Recherche en Automatique de Nancy

This paper looks at the problem of system identification from non-uniformly sampled input-output data. It describes how refined instrumental variable estimators can be derived to directly identify the parameters of continuous-time output error and Box-Jenkins transfer function models from irregularly sampled data. Monte Carlo simulation analysis is used to illustrate the properties of the proposed estimation schemes.

Mots clés: Continuous-time models; instrumental variable; irregular sampling; parameter estimation; system identification

Domaines: Automatique / Robotique

Fengwei Chen, Hugues Garnier, Marion Gilson. Refined instrumental variable identification of continuous-time OE and BJ models from irregularly sampled data. 11th IFAC International Workshop on Adaptation and Learning in Control and Signal Processing, ALCOSP 2013, Jul 2013, Caen, France. pp.CDROM. ⟨hal-00906221⟩