摘要：AbstractThis paper proposes a method for the estimation of ARX (Autoregressive with external input) model of multivariable errors-in-variables (EIV) systems. In parameter estimation, the input noise variances need to be estimated in order to obtain a consistent estimate. Two methods are developed to estimate the input noises variances. One way is to minimize a correlated output error criterion. The other way is to extract the input noises variances from the power spectrum of measured inputs. When the input noise variances are known, a modified least-squares method will give consistent estimate for the EIV system. Numerical simulations are used to illustrate the performance of the method. This work lays down a basis for extending the asymptotic method of Liu and Zhu (2017) to multivariable EIV systems which starts from a high order ARX model estimation.
