Instrumental variables for parameter estimation in stochastic systems with coloured noise

J. Escobar; A. Gallardo

doi:10.1007/s40435-017-0304-z

Instrumental variables for parameter estimation in stochastic systems with coloured noise

J. Escobar, A. Gallardo

Escuela Superior de Ingeniería Mecánica y Eléctrica (ESIME), Unidad Zacatenco

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

Resumen

This paper presents an estimation algorithm for continuous-time stochastic systems under coloured perturbations using an extended form of the instrumental variable method. A comparison between the extended an the simple form was done using two numerical examples to test their efficiency. The results showed that the simple version is able to estimate coloured noise without additional information and it is easier to implement than the extended version.

Idioma original	Inglés
Páginas (desde-hasta)	1105-1110
Número de páginas	6
Publicación	International Journal of Dynamics and Control
Volumen	6
N.º	3
DOI	https://doi.org/10.1007/s40435-017-0304-z
Estado	Publicada - 1 sep. 2018

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title = "Instrumental variables for parameter estimation in stochastic systems with coloured noise",

abstract = "This paper presents an estimation algorithm for continuous-time stochastic systems under coloured perturbations using an extended form of the instrumental variable method. A comparison between the extended an the simple form was done using two numerical examples to test their efficiency. The results showed that the simple version is able to estimate coloured noise without additional information and it is easier to implement than the extended version.",

keywords = "Instrumental variables, Parameter estimation, Stochastic systems",

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AU - Gallardo, A.

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AB - This paper presents an estimation algorithm for continuous-time stochastic systems under coloured perturbations using an extended form of the instrumental variable method. A comparison between the extended an the simple form was done using two numerical examples to test their efficiency. The results showed that the simple version is able to estimate coloured noise without additional information and it is easier to implement than the extended version.

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KW - Parameter estimation

KW - Stochastic systems

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DO - 10.1007/s40435-017-0304-z

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Instrumental variables for parameter estimation in stochastic systems with coloured noise

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