On the effect of noise correlation in parameter identification of SIMO systems

N. Everitt, G. Bottegal, C.R. Rojas, H. Hjalmarsson

Research output: Contribution to journalConference articlepeer-review

3 Citations (Scopus)


The accuracy of identified linear time-invariant single-input multi-output (SIMO) models can be improved when the disturbances affecting the output measurements are spatially correlated. Given a linear parametrization of the modules composing the SIMO structure, we show that the correlation structure of the noise sources and the model structure of the othe modules determine the variance of a parameter estimate. In particular we show that increasing the model order only increases the variance of other modules up to a point. We precisely characterize the variance error of the parameter estimates for finite model orders. We quantify the effect of noise correlation structure, model structure and signal spectra.
Original languageEnglish
Pages (from-to)326-331
Number of pages6
Issue number28
Publication statusPublished - 2015
Externally publishedYes
Event17th IFAC Symposium on System Identification (SYSID 2015) - Beijing International Convention Center, Beijing, China
Duration: 19 Oct 201521 Oct 2015
Conference number: 17


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