Bias Compensating Direct Identification of Continuous Time System with Noisy Output Data

Abstract

An alternative method was proposed for identification of linear continuous time system with noisy output. Using Gaussian modulating filters, by numerical integration, a discrete equivalent identification model that was parametrized directly in continuous time model parameters was obtained, and the LS estimation algorithm was developed. The LS estimator is biased even with white measurement output noise, and the bias is determined by variance of output noise. On the basis of obtained output measurement noise variance, the bias was compensated and the consistent estimates of system parameters were given. Simulation which compares the standard LS with BCLS algorithm indicates that the proposed algorithm is an efficient method for noisy output continuous time system identification.