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authorSuraj Yerramilli2016-02-17 11:29:05 +0530
committerSuraj Yerramilli2016-02-17 11:29:05 +0530
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adding documentation for iv routine
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+% Generated by roxygen2: do not edit by hand
+% Please edit documentation in R/iv.R
+\name{iv}
+\alias{iv}
+\title{ARX model estimation using instrumental variable method}
+\usage{
+iv(z, order = c(0, 1, 0), x = NULL)
+}
+\arguments{
+\item{z}{an idframe object containing the data}
+
+\item{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}
+
+\item{x}{instrument variable matrix. x must be of the same size as the output
+data. (Default: \code{NULL})}
+}
+\value{
+An object of class \code{estpoly} containing the following elements:
+ \item{sys}{an \code{idpoly} object containing the
+ fitted ARX coefficients}
+ \item{fitted.values}{the predicted response}
+ \item{residuals}{the residuals}
+ \item{input}{the input data used}
+ \item{call}{the matched call}
+ \item{stats}{A list containing the following fields: \cr
+ \code{vcov} - the covariance matrix of the fitted coefficients \cr
+ \code{sigma} - the standard deviation of the innovations\cr
+ \code{df} - the residual degrees of freedom}
+}
+\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
+}
+\details{
+SISO ARX models are of the form
+\deqn{
+ y[k] + a_1 y[k-1] + \ldots + a_{na} y[k-na] = b_{nk} u[k-nk] +
+ \ldots + b_{nk+nb} u[k-nk-nb] + e[k]
+}
+The function estimates the coefficients using linear least squares (with
+regularization).
+\cr
+The data is expected to have no offsets or trends. They can be removed
+using the \code{\link{detrend}} function.
+}
+\examples{
+data(arxsim)
+mod_iv <- iv(z,c(2,1,1))
+
+}
+\references{
+Arun K. Tangirala (2015), \emph{Principles of System Identification:
+Theory and Practice}, CRC Press, Boca Raton. Sections 21.7.1, 21.7.2
+
+Lennart Ljung (1999), \emph{System Identification: Theory for the User},
+2nd Edition, Prentice Hall, New York. Section 7.6
+}
+\seealso{
+arx
+}
+