Frisch scheme based identification of dynamic errors-in-variables bilinear systems

Abstract

An approach for the identification of dynamic single-input single-output bilinear discrete-time system models within the errors-in-variables framework for the case of white input and output noise sequences is presented. The method is based on the combination of the instrumental variables technique and the Frisch scheme. Whilst the instrumental variables technique is utilised to avoid correlations of the noise sequences corresponding to the bilinear part of the noise covariance matrix, the Frisch scheme allows to obtain, subsequently, the model parameters together with the variances of the input and output noise sequences. The concept gives rise to two novel algorithms, which are compared with other errors-in-variables approaches via a Monte-Carlo simulation.