精选-优化辅助变量法及其仿真研究

Refined - Optimal Instrumental Variable Algorithm and Its Simulation

本文分析了系统噪声模型参数估计的优化辅助变量选择问题。给出了交替估计系统的输入输出模型参数与噪声模型参数的精选-优化辅助变量算法。通过两个单变量随机系统的Monte-Carlo仿真试验;进一步说明了该算法对参数估计的有效性。

In this paper an optimal selection of instrumental variable for the estimation of noise-model parameters is given. The efficiency of the algorithm is shown by the simulation results which is comp-ared with the refined IV-AML algo-rithm.