Strongly consistent parameter estimation by the introduction of strong instrumental variables
- 1 December 1974
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 19 (6) , 825-830
- https://doi.org/10.1109/tac.1974.1100719
Abstract
This paper introduces the concept of strong instrumental variables and strong instrumental matrix sequences for the estimation of the transfer function parameters of discrete-time, time-invariant models of linear systems. It is shown that the strong instrumental variable estimators are strongly consistent and a sufficient condition for the estimator to be asymtotically unbiased is given. Moreover, it is shown that with a persistently exciting signal of appropriate order for an input, "virtually" any discrete-time, time-invariant, linear system model of appropriate order can be used to generate strong instrumental variables.Keywords
This publication has 1 reference indexed in Scilit:
- Identification of linear discrete time systems using the instrumental variable methodIEEE Transactions on Automatic Control, 1967