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	Strongly consistent coefficient estimate for errors-in-variables models
	Chen, HF; Yang, JM
刊名	AUTOMATICA
	2005-06-01
卷号	41期号:6页码:1025-1033
关键词	errors-in-variables ARMA identifiability strong consistency convergence rate
ISSN号	0005-1098
DOI	10.1016/j.automatica.2004.12.007
英文摘要	For the single-input-single-output (SISO) errors-in-variables system it is assumed that the system input is an ARMA process and that the driven noise of the system input and the observation noise are jointly Gaussian. The two-dimensional observation made on system input and output is represented as a two-dimensional (2D) ARMA system of minimum phase driven by a sequence of 2D i.i.d. Gaussian random vectors (innovation representation). It is shown that the resulting ARMA system is identifiable, i.e., its coefficients are uniquely defined under reasonable conditions. Recursive algorithms are proposed for estimating coefficients of the ARMA representation including those contained in the original SISO system. The estimates are proved to be convergent to the true values with probability one and the convergence rate is derived a, well. The theoretical results are justified by numerical simulation. (c) 2005 Elsevier Ltd. All rights reserved.
WOS研究方向	Automation & Control Systems ; Engineering
语种	英语
出版者	PERGAMON-ELSEVIER SCIENCE LTD
WOS记录号	WOS:000229281700011
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/1264]
专题	系统科学研究所
通讯作者	Chen, HF
作者单位	Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Chen, HF,Yang, JM. Strongly consistent coefficient estimate for errors-in-variables models[J]. AUTOMATICA,2005,41(6):1025-1033.
APA	Chen, HF,&Yang, JM.(2005).Strongly consistent coefficient estimate for errors-in-variables models.AUTOMATICA,41(6),1025-1033.
MLA	Chen, HF,et al."Strongly consistent coefficient estimate for errors-in-variables models".AUTOMATICA 41.6(2005):1025-1033.

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