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

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  • Masoud Moravej Khorasani
  • Mohammad Haeri

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.

Suggested Citation

  • Masoud Moravej Khorasani & Mohammad Haeri, 2018. "Identification of EIV models with coloured input–output noise: combining PEM and covariance matching method," International Journal of Systems Science, Taylor & Francis Journals, vol. 49(8), pages 1738-1747, June.
    • Handle: RePEc:taf:tsysxx:v:49:y:2018:i:8:p:1738-1747
    DOI: 10.1080/00207721.2018.1479001
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