On the Estimation of Optimal Weights for Instrumental Variable System Identification Methods
2000 (English)In: Symposium on System Identification, 2000Conference paper (Refereed)
It is well known that the accuracy of instrumental variable (IV) methods for parameter estimation can be signicantly improved by weighting the estimating equations. However, the optimal weight typically depends on unknown parameters and needs to be estimated before it can be used in the IV estimator. In many parameter estimation problems the optimal weighting matrix is equal to the DC power of a certain vector process. It is known to be a dicult task to consistently estimate power in a nonparametric manner at any frequency (e.g., the periodogram cannot achieve this). However, for the case considered in this paper we show that there exists a natural nonparametric consistent estimator of the DC power matrix or, equivalently, the optimal weighting matrix. This result is expected to increase the interest in using optimally weighted parameter estimation methods of instrumental variable or related type.
Place, publisher, year, edition, pages
identification, estimation theory, parameter estimation, weighting function, non-parametric identification, spectral analysis, consistency
IdentifiersURN: urn:nbn:se:kth:diva-86376OAI: oai:DiVA.org:kth-86376DiVA: diva2:500681
SYSID'2000: Symposium on System Identification, Santa Barbara, CA, USA, June 2000.
NR 201408052012-02-132012-02-132012-02-13Bibliographically approved