A generalized instrumental variable estimation method for errors-in-variables identification problems

摘要

The errors-in-variables identification problem concerns dynamic systems whose input and output variables are affected by additive noise. Several estimation methods have been proposed for identifying dynamic errors-in-variables models. In this paper it is shown how a number of common methods for errors-in-variables methods can be put into a general framework, resulting into a Generalized Instrumental Variable Estimator (GIVE). Various computational aspects of GIVE are presented, and the asymptotic distribution of the parameter estimates is derived.