Automatica, Vol.43, No.4, 621-630, 2007
Frequency domain maximum likelihood estimation of linear dynamic errors-in-variables models
This paper studies the linear dynamic errors-in-variables problem for filtered white noise excitations. First, a frequency domain Gaussian maximum likelihood (ML) estimator is constructed that can handle discrete-time as well as continuous-time models on (a) part(s) of the unit circle or imaginary axis. Next, the ML estimates are calculated via a computationally simple and numerically stable Gauss-Newton minimization scheme. Finally, the Cramer-Rao lower bound is derived. (C) 2007 Elsevier Ltd. All rights reserved.