On maximum likelihood identification of errors-in-variables models

Title: On maximum likelihood identification of errors-in-variables models
Creator: Bottegal, Giulio; Risuleo, Riccardo S.; Zamani, Mohsen; Ninness, Brett; Hjalmarsson, Håkan
Relation: 20th IFAC World Congress. 20th IFAC World Congress Proceedings [presented in IFAC-PapersOnLine, Vol. 50, Issue 1] (Toulouse, France 9-14 July, 2017) p. 2824-2829
Publisher Link: http://dx.doi.org/10.1016/j.ifacol.2017.08.634
Publisher: Elsevier
Resource Type: conference paper
Date: 2017
Description: In this paper, we revisit maximum likelihood methods for identification of errors-in-variables systems. We assume that the system admits a parametric description, and that the input is a stochastic ARMA process. The cost function associated with the maximum likelihood criterion is minimized by introducing a new iterative solution scheme based on the expectation-maximization method, which proves fast and easily implementable. Numerical simulations show the effectiveness of the proposed method.
Subject: maximum likelihood method; errors-in-variables systems; cost function; iterative solution schemes; expectation-maximization method
Identifier: http://hdl.handle.net/1959.13/1394831
Identifier: uon:33777
Identifier: ISSN:2405-8963
Language: eng
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