iv: 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)

Value

An object of class estpoly containing the following elements:

sys: an idpoly object containing the fitted ARX coefficients
fitted.values: the predicted response
residuals: the residuals
input: the input data used
call: the matched call
stats: A list containing the following fields:
vcov - the covariance matrix of the fitted coefficients
sigma - the standard deviation of the innovations
df - the residual degrees of freedom

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: NULL)

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

Examples

Run this code

data(arxsim)
mod_iv <- iv(arxsim,c(2,1,1))