Technical Report 2004-037

Identification of Dynamic Errors-in-Variables Systems with Periodic Data

Torsten Söderström and Mei Hong

August 2004

Using instrumental variable methods to estimate the parameters of dynamic errors-in-variables systems with a periodic input signal is the focus in this report. How to choose suitable instrumental variable vectors is the key point. Four variants are proposed; all of them can generate consistent estimates. An analysis shows that the best accuracy is achieved by using a specific overdetermined instrumental variable vector. Numerical illustrations demonstrate the effectiveness of the proposed IV3 method for both white and colored measurement noise. It is superior to alternative methods under low signal to noise ratios.

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