Technical Report 2019-006

Frequency Domain Identification of FIR Models from Noisy Input-Output Data

Umberto Soverini and Torsten Söderström

August 2019

This paper describes a new approach for identifying FIR models from a finite number of measurements, in the presence of additive and uncorrelated white noise. In particular, two different frequency domain algorithms are proposed. The first algorithm is based on some theoretical results concerning the dynamic Frisch scheme. The second algorithm maps the FIR identification problem into a quadratic eigenvalue problem. Both methods resemble in many aspects some other identification algorithms, originally developed in the time domain. The features of the proposed methods are compared with each other and with those of some time domain algorithms by means of Monte Carlo simulations.

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