2007•2007 IEEE/SP 14th Workshop on Statistical Signal ProcessingRequires access

Analysis of a Covariance Matching Method for Discrete-Time Errors-in-Variables Identification

Magnus Mossberg

Abstract

A covariance matching method for discrete-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 the noise-corrupted data. An approximative expression for the covariance matrix of the estimated parameter vector is given.

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Key concepts: Covariance, Rational quadratic covariance function, Matérn covariance function, Covariance intersection, Estimation of covariance matrices, Law of total covariance, Covariance matrix, Covariance function