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Comparison and diagnosis of errors for six parameter estimation methods. (English) Zbl 0539.93075
Summary: Six different methods for the parameter estimation of linear time- invariant discrete systems are compared for the case when the output and its delayed components are obscured by autocorrelated noise. These methods are least squares, instrumental variables, orthogonal regression and the generalized forms of these methods. The comparison is done for different noise levels and for the uniform and normal error distributions.
MSC:
93E10 Estimation and detection in stochastic control theory
93C05 Linear systems in control theory
93E25 Computational methods in stochastic control (MSC2010)
62F35 Robustness and adaptive procedures (parametric inference)
65G50 Roundoff error
93C99 Model systems in control theory
93C55 Discrete-time control/observation systems
93E12 Identification in stochastic control theory
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