Analysis of a covariance matching method for continuous-time errors-in-variables identification

A covariance matching method for continuous-time errors-in-variables identification is analyzed. The method consists of fitting covariance and cross-covariance functions, parameterized by the unknown parameters, to covariance and cross-covariance functions estimated from discrete-time data. An expression for the asymptotic covariance matrix of the estimated parameter vector is given. The derived asymptotic covariance matrix can be used as an important tool for studying the properties of the estimation method.