Consistent Impulse-Response Estimation and System Realization From Noisy Data Vrije Universiteit Brussel
A novel method for the estimation of a finite part of the impulse response is presented. The method is consistent in case the measured output data are prone to colored noise. The combination of Kung's realization algorithm yields a consistent system identification algorithm that is particularly useful for the identification of systems with uncoupled deterministic and stochastic dynamics. This algorithm is called IREAR. A detailed linear ...