ivx - Estimate parameters of ARX model using instrumental variable method with arbitrary instruments
Syntax
m = ivx(data,orders,x)
m = ivx(data,orders,x,maxsize)
Description
Estimate parameters of ARX model using instrumental variable
method with arbitrary instruments and returning idpoly or idarx objects. ivx is
a routine analogous to the iv4 routine, except
that you can use arbitrary instruments. These are contained in the
matrix x. Make this the same size as the output, data.y.
In particular, if data contains several experiments, x must
be a cell array with one matrix/vector for each experiment. The instruments
used are then analogous to the regression vector itself, except that y is
replaced by x.
Note that ivx does not return any estimated
covariance matrix for m, since that requires additional
information. m is returned as an idpoly object
for single-output systems and as an idarx object
for multiple-output systems.
Use iv4 as the basic IV routine for ARX model
structures. The main interest in ivx lies in its
use for nonstandard situations, for example, when there is feedback
present in the data, or when other instruments need to be tried out.
Note that there is also an IV version that automatically generates
instruments from certain filters you define (type help iv).
References
Ljung (1999), page 222.
See Also
 | ivstruc | | iv4 |  |
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