Algorithms for recursive/semi-recursive bias-compensating least squares system identification within the errors-in-variables framework

摘要

Algorithms for the recursive/semi-recursive estimation of the system parameters as well as the measurement noise variances for linear single-input single-output errors-in-variables systems are considered. Approaches based on three offline techniques are presented: namely, the bias eliminating least squares, the Frisch scheme and the extended bias compensating the least squares method. Whilst the underlying equations used within these approaches are identical under certain design choices, the performances of the recursive/semi-recursive algorithms are investigated via simulation, in order to determine the most suitable technique for practical applications.