Referenced Items are not available for this document.
In this brief, we propose a cumulant-based, iterative method for identifying a linear time-invariant system from its noisy input/output data. The input and output are assumed to be non-Gaussian, while the input and output noises are assumed to be mutually correlated, colored, and Gaussian. At each iteration, the proposed method minimizes an objective function that asymptotically is equal to a scalar multiple of Steiglitz and McBride's (1965) (ensemble average version) objective function for noise-free data. Unlike Steiglitz and McBride's method, the proposed one is consistent for inputs that are persistently exciting of sufficient order
Published in:
Circuits and Systems II: Analog and Digital Signal Processing, IEEE Transactions on
(Volume:44
,
Issue:
5
)
Date of Publication: May 1997
- Page(s):
- 407 - 409
- ISSN :
- 1057-7130
- INSPEC Accession Number:
- 5582325
- Digital Object Identifier :
- 10.1109/82.580855
- Product Type:
- Journals & Magazines
- Date of Current Version :
- 06 August 2002
- Issue Date :
- May 1997
- Sponsored by :
- IEEE Circuits and Systems Society
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