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author | Suraj Yerramilli | 2016-03-16 19:24:14 +0530 |
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committer | Suraj Yerramilli | 2016-03-16 19:24:14 +0530 |
commit | c373b5b9f8ac81e7d366a410960a0c895be0a5a1 (patch) | |
tree | 98f52315cb53f5cd5ebfa706b7cf652a9629aff9 /man | |
parent | 5e2cb5898aff4b15e5d9a14576c001c52684ddba (diff) | |
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adding documentation for iv4 method
Diffstat (limited to 'man')
-rw-r--r-- | man/iv4.Rd | 55 |
1 files changed, 55 insertions, 0 deletions
diff --git a/man/iv4.Rd b/man/iv4.Rd new file mode 100644 index 0000000..45755fc --- /dev/null +++ b/man/iv4.Rd @@ -0,0 +1,55 @@ +% Generated by roxygen2: do not edit by hand +% Please edit documentation in R/iv.R +\name{iv4} +\alias{iv4} +\title{ARX model estimation using four-stage instrumental variable method} +\usage{ +iv4(z, order = c(0, 1, 0)) +} +\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} +} +\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. The estimation algorithm is insensitive to +the color of the noise term. +} +\details{ +Estimation is performed in 4 stages. The first stage uses the arx function. The resulting model generates the +instruments for a second-stage IV estimate. The residuals obtained from this model are modeled using a sufficently +high-order AR model. At the fourth stage, the input-output data is filtered through this AR model and then subjected +to the IV function with the same instrument filters as in the second stage. +} +\examples{ +mod_dgp <- idpoly(A=c(1,-0.5),B=c(0.6,-.2),C=c(1,0.6),ioDelay = 2,noiseVar = 0.1) +u <- idinput(400,"prbs") +y <- sim(mod_dgp,u,T) +z <- idframe(y,u) +mod_iv4 <- iv4(z,c(1,2,2)) + +} +\references{ +Lennart Ljung (1999), \emph{System Identification: Theory for the User}, +2nd Edition, Prentice Hall, New York. Section 15.3 +} +\seealso{ +\code{\link{arx}}, \code{\link{iv4}} +} + |