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Frisch scheme identification for Errors-in-Variables systems

This paper considers the problem of identification of dynamic Errors-in-Variables (EIV) systems. Some fatal errors of the well-known Frisch Scheme for EIV identification have been presented, and on the basis of it an improved recursive algorithm is proposed. The new algorithm can estimate both the system parameters and the noise variance with higher accuracy and computational efficiency. Simulations illustrate the theoretical results.