Identification of EIV models with coloured input–output noise: combining PEM and covariance matching method

Masoud Moravej Khorasani and Mohammad Haeri

International Journal of Systems Science, 2018, vol. 49, issue 8, 1738-1747

Abstract: In this paper, a novel identification method for discrete-time linear systems when input–output observations are contaminated by coloured noise (errors-in-variables models) is proposed. To develop the new approach, modified prediction error and covariance matching methods are utilised. It is proved that the proposed approach leads to a consistent estimation. System identification through the proposed approach entails the existence of a flat frequency interval in power spectra of input and ratio of noise-free input to input signals which is a somewhat mild assumption. Two Monte Carlo simulations are provided to explain the efficiency, numerical complexity and the application of the proposed method.

Date: 2018
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DOI: 10.1080/00207721.2018.1479001

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