A Bias-Compensated Identification Approach for Noisy FIR Models

Abstract

A new bias-compensated least-squares method for identifying finite impulse response (FIR) models whose input and output are affected by additive white noise is proposed. By exploiting the statistical properties of the equation error of the noisy FIR system, an estimate of the input noise variance is obtained and the noise-induced bias is removed. The results obtained by means of Monte Carlo simulations show that the proposed algorithm outperforms other bias-compensated approaches and allows to obtain an estimation accuracy comparable to that of total least-squares without requiring the a priori knowledge of the input-output noise variance ratio.