Technical Report 2006-032

Extending the Frisch Scheme for Errors-in-Variables Identification to Correlated Output Noise

Torsten Söderström

June 2006

Several estimation methods have been proposed for identifying errors-in-variables systems, where both input and output measurements are corrupted by noise. One of the promising approaches is the so called Frisch scheme. In its standard form it is designed to handle white measurement noise on the input and output sides. As the output noise comprises both effects of measurement errors and of process disturbances, it is much more realistic to allow correlated output noise. It is described in the paper how the Frisch scheme can be extended to such cases.

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