The refined instrumental variable method. Unified estimation of discrete and continuous-time transfer function models

Abstract

This paper describes the unified Refined Instrumental Variable approach to the time domain identification and estimation of both discrete-time (RIV) and continuous-time (RIVC) transfer function models. It demonstrates how this approach yields parameter estimates with optimal statistical properties for the Box-Jenkins and hybrid Box-Jenkins model forms on which the associated RIV and RIVC estimation algorithms are based. The performance of the algorithms, which can be implemented in en-bloc or recursive form, is evaluated by Monte-Carlo simulation analysis and their practical utility is illustrated by a number of practical environmental examples. Show more