On a Priori Error Estimates of Some Identification Methods

摘要

The paper examines in detail the estimation errors of two algorithms proposed by Koopmans and Levin for identifying linear systems described by an nth order scalar difference equation. Necessary and sufficient conditions are established for the strong consistency of the estimates that these algorithms generate. A priori error bounds on estimation error are obtained to provide a quantitative basis for comparing these algorithms in relation to the maximum likelihood estimates. Computational results are also presented to supplement the theoretical discussions. (Author)