Closed-loop continuous-time model identification with noisy input-output

Abstract In this paper, system identification is proposed for closed-loop systems in input/output noisy context. Although instrumental variable techniques exist in the literature, the proposed filtering in input/ouput noisy context is not optimal. Also, three algorithms are proposed, and the closed-loop simplified refined instrumental variable for continuous-time system gives optimal results: estimates are consistent and with minimum variance. The main contributions relies on the filtering of the instruments and signals considered.

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