Recursive Algorithm of Bias Compensated Weighted Least Squares Method

Masato Ikenoue, Shunshoku Kanae, Kiyoshi Wada
2019 Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications  
This paper investigates the problem of identifying errors-in-variables (EIV) models, where the both input and output measurements are corrupted by white noises, and addresses a new efficient recursive algorithm. The identification problem of EIV models with unknown noise variances has been extensively studied and several methods have been proposed. To be further developed in terms of estimation accuracy, the bias compensated weighted least squares (BCWLS) method with only requirement of input
more » ... ise variance estimate has been proposed by using the biased weighted least squares estimate. However, the recursive form for the standard least squares estimate cannot be applied to recursively compute the BCWLS estimate because the weight matrix is not diagonal. To recursively compute the BCWLS estimate, the recursive forms for the biased WLS estimate and the input noise variance estimate are derived. The results of a simulated example indicate that the proposed recursive algorithm provides good results.
doi:10.5687/sss.2019.130 fatcat:osuzy47nlfhhbn7nrpb4r5dak4