iv4 - Estimate ARX model using four-stage instrumental variable method
Syntax
m = iv4(data,orders)
m = iv4(data,'na',na,'nb',nb,'nk',nk)
m= iv4(data,orders,'Property1',Value1,...,'PropertyN',ValueN)
Description
Returns idpoly or idarx object.
This function is an alternative to arx and
the use of the arguments is entirely analogous to the arx function.
The main difference is that the procedure is not sensitive to the
color of the noise term
in the model equation.
Examples
Here is an example of a two-input, one-output system with different
delays on the inputs
and
.
z = iddata(y, [u1 u2]);
nb = [2 2];
nk = [0 2];
m= iv4(z,[2 nb nk]);
Algorithm
The first stage uses the arx function.
The resulting model generates the instruments for a second-stage IV
estimate. The residuals obtained from this model are modeled as a
high-order AR model. At the fourth stage, the input-output data is
filtered through this AR model and then subjected to the IV function
with the same instrument filters as in the second stage.
For the multiple-output case, optimal instruments are obtained
only if the noise sources at the different outputs have the same color.
The estimates obtained with the routine are reasonably accurate, however,
even in other cases.
References
Ljung (1999), equations (15.21) through (15.26).
See Also
 | ivx | | linapp |  |
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