Open AccessStatistical Analysis of a Third-Order Cumulants Based Algorithm for Discrete-Time Errors-in-Variables Identification
Author(s) -
Stéphane Thil,
Maochun Hong,
Torsten Söderström,
Marion Gilson,
Hugues Garnier
Publication year - 2008
Publication title -
hal (le centre pour la communication scientifique directe)
Language(s) - English
Resource type - Conference proceedings
DOI - 10.3182/20080706-5-kr-1001.0342
Subject(s) - cumulant , algorithm , computer science , identification (biology) , higher order statistics , mathematics , statistics , signal processing , telecommunications , radar , botany , biology
International audienceThis paper deals with identification of dynamic discrete-time errors-in-variables systems. The statistical accuracy of a least squares estimator based on third-order cumulants is analyzed. In particular, the asymptotic covariance matrix of the estimated parameters is derived. The results are supported by numerical simulation studies