| 辅助变量法及其改进算法在含噪声系统辨识中的运用 |
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| 引用本文： | 高红蕾,徐柏龄.辅助变量法及其改进算法在含噪声系统辨识中的运用[J].南京大学学报(自然科学版),1997,33(1):25-31. |
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| 作者姓名： | 高红蕾 徐柏龄 |
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| 作者单位： | 南京大学声学研究所近代声学国家重点实验室 |
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| 摘 要： | 对ＡＲＭＡ模型含有输入噪声和量测噪声的情况进行了讨论，在两种情况下，最 乘法并不能得到很好的估计结果，运用辅助变量法可以提高估计精度。特别是在输入信号受到干扰时，配方提出了加权辅助变量法，可以得到比ＩＶ方法更精确的结果，尤其是在噪信比较高的场合，本文还给出了ＷＩＶ方法的无偏性分析。
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| 关 键 词： | 噪声 辅助变量法 ARMA模型 系统辨识 参数估计 |
THE APPLICATION OF IV METHOD AND ITS IMPROVED ALGORITHM TO NOISY SYSTEM PARAMETER ESTIMATION |
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| Gao Honglei,Xu Boling.THE APPLICATION OF IV METHOD AND ITS IMPROVED ALGORITHM TO NOISY SYSTEM PARAMETER ESTIMATION[J].Journal of Nanjing University: Nat Sci Ed,1997,33(1):25-31. |
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| Authors: | Gao Honglei Xu Boling |
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| Abstract: | In this paper, parameter estimation of ARMA system with input noise and measurement noise is respectively considered. The noise are supposed to be Gaussnoise with zero mean. In these cases, the instrumnetal variable method(IV) is used to get a good approach, whereas the LS method is not fit. Furthermore, for input noisy data the weighted instrumental variable (WIV) method is proposed to reduce the inaccuracy caused by high NSR. Finally, several simulation results are presented to show the advantage of the estimation algorithm discussed here. |
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| Keywords: | input noise measurement noise instrumental variable method weighted instrumental variable method |
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