The overdetermined recursive instrumental variable method

A recursive instrumental variable algorithm is derived for the overdetermined case in which the number of instruments is greater than the number of estimated parameters. In some applications, the algorithm provides improved parameter estimation accuracy, compared to the standard recursive instrumental variable method. The performance of the algorithm is illustrated by simulation results.

[1]  Kwan Wong,et al.  Identification of linear discrete time systems using the instrumental variable method , 1967, IEEE Transactions on Automatic Control.

[2]  P. Young.  An instrumental variable method for real-time identification of a noisy process , 1970 .

[3]  Peter C. Young,et al.  Comments on "On-line identification of linear dynamic systems with applications to Kalman filtering" , 1972 .

[4]  T. Söderstöm,et al.  Correspondence item: Convergence of identification methods based on the instrumental variable approach , 1974 .

[5]  I. Rowe,et al.  Strongly consistent parameter estimation by the introduction of strong instrumental variables , 1974 .

[6]  Rolf Isermann,et al.  Two-Step Process Identification With Correlation Analysis and Least-Squares Parameter Estimation , 1974 .

[7]  P. Young.  Some observations on instrumental variable methods of time-series analysis , 1976 .

[8]  Peter E. Caines,et al.  On the asymptotic normality of instrumental variable and least squares estimators , 1976 .

[9]  Lennart Ljung,et al.  A theoretical analysis of recursive identification methods , 1978, Autom..

[10]  P. Young,et al.  Refined instrumental variable methods of recursive time-series analysis Part I. Single input, single output systems , 1979 .

[11]  P. Young,et al.  Refined instrumental variable methods of recursive time-series analysis Part II. Multivariable systems , 1979 .

[12]  Steven Kay,et al.  A new ARMA spectral estimator , 1980 .

[13]  J. Cadzow,et al.  High performance spectral estimation--A new ARMA method , 1980 .

[14]  P. Young,et al.  Refined instrumental variable methods of recursive time-series analysis Part III. Extensions , 1980 .

[15]  Petre Stoica,et al.  Comparison of some instrumental variable methods - Consistency and accuracy aspects , 1981, Autom..

[16]  Petre Stoica,et al.  Comments on the Wong and Polak minimax approach to accuracy optimization of instrumental variable methods , 1982 .

[17]  J. Cadzow,et al.  Spectral estimation: An overdetermined rational model equation approach , 1982, Proceedings of the IEEE.

[18]  B. Friedlander.  Instrumental variable methods for ARMA spectral estimation , 1983 .

[19]  T. Söderström,et al.  Optimal instrumental variable estimation and approximate implementations , 1983 .