Statistical Analysis of a Third-Order Cumulants Based Algorithm for Discrete-Time Errors-in-Variables Identification

Stéphane Thil (1) , Mei Hong (2) , Torsten Söderström (2) , Marion Gilson (1) , Hugues Garnier (1)

1 CRAN - Centre de Recherche en Automatique de Nancy
2 DIT-UPPSALA - Department of Information Technology

This paper deals with identification of dynamic discrete-time errors-in-variables systems. The statistical accuracy of a least squares estimator based on third-order cumulants is analyzed. In particular, the asymptotic covariance matrix of the estimated parameters is derived. The results are supported by numerical simulation studies.

Mots clés: System identification; errors-in-variables; higher-order statistics; accuracy analysis

Domaines: Automatique / Robotique

Stéphane Thil, Mei Hong, Torsten Söderström, Marion Gilson, Hugues Garnier. Statistical Analysis of a Third-Order Cumulants Based Algorithm for Discrete-Time Errors-in-Variables Identification. 17th IFAC World Congress, Jul 2008, Seoul, South Korea. pp.420-425, ⟨10.3182/20080706-5-KR-1001.0342⟩. ⟨hal-00261399⟩