Jmm. Anderson et W. Edmonson, SYSTEM-IDENTIFICATION WITH NOISY INPUT-OUTPUT DATA USING A CUMULANT-BASED STEIGLITZ-MCBRIDE-ALGORITHM, IEEE transactions on circuits and systems. 2, Analog and digital signal processing, 44(5), 1997, pp. 407-409
In this brief, we propose a cumulant-based, iterative method for ident
ifying a linear time-invariant system from its noisy input/output data
. The input and output are assumed to be non-Gaussian, while the input
and output noises are assumed to be mutually correlated, colored, and
Gaussian. At each iteration, the proposed method minimizes an objecti
ve function that asymptotically is equal to a scalar multiple of Steig
litz and McBride's (ensemble average version) objective function for n
oise-free data. Unlike Steiglitz and McBride's method, the proposed on
e is consistent for inputs that are persistently exciting of sufficien
t order.