An asymptotically optimal indirect approach to continuous-time system identification

The indirect approach to continuous-time system identification consists in estimating continuous-time models by first determining an appropriate discrete-time model. For a zero-order hold sampling mechanism, this approach usually leads to a transfer function estimate with relative degree 1, independent of the relative degree of the strictly proper real system. In this paper, a refinement of these methods is developed. Inspired by indirect PEM, we propose a method that enforces a fixed relative degree in the continuous-time transfer function estimate, and show that the resulting estimator is consistent and asymptotically efficient. Extensive numerical simulations are put forward to show the performance of this estimator when contrasted with other indirect and direct methods for continuous-time system identification.Comment: 6 pages, 2 figure

Consistent identification of continuous-time systems under multisine input signal excitation

For many years, the Simplified Refined Instrumental Variable method for Continuous-time systems (SRIVC) has been widely used for identification. The intersample behaviour of the input plays an important role in this method, and it has been shown recently that the SRIVC estimator is not consistent if an incorrect assumption on the intersample behaviour is considered. In this paper, we present an extension of the SRIVC algorithm that is able to deal with continuous-time multisine signals, which cannot be interpolated exactly through hold reconstructions. The proposed estimator is generically consistent for any input reconstructed through zero or first-order-hold devices, and we show that it is generically consistent for continuous-time multisine inputs as well. The statistical performance of the proposed estimator is compared to the standard SRIVC estimator through extensive simulations.Comment: 12 pages, 3 figure