iv {sysid} | R Documentation |
ARX model estimation using instrumental variable method
Description
Estimates an ARX model of the specified order from input-output data using the instrument variable method. If arbitrary instruments are not supplied by the user, the instruments are generated using the arx routine
Usage
iv(z, order = c(0, 1, 0), x = NULL)
Arguments
z |
an idframe object containing the data |
order |
Specification of the orders: the three integer components (na,nb,nk) are the order of polynolnomial A, (order of polynomial B + 1) and the input-output delay |
x |
instrument variable matrix. x must be of the same size as the output
data. (Default: |
Value
An object of class estpoly
containing the following elements:
sys |
an |
fitted.values |
the predicted response |
residuals |
the residuals |
input |
the input data used |
call |
the matched call |
stats |
A list containing the following fields: |
References
Arun K. Tangirala (2015), Principles of System Identification: Theory and Practice, CRC Press, Boca Raton. Sections 21.7.1, 21.7.2
Lennart Ljung (1999), System Identification: Theory for the User, 2nd Edition, Prentice Hall, New York. Section 7.6
See Also
Examples
data(arxsim)
mod_iv <- iv(arxsim,c(2,1,1))