Measurement Difference Method: A Universal Tool for Noise Identification

Abstract

This paper deals with noise identification of a system described by the linear time-varying state-space model using correlation methods. In particular, the stress is laid on the measurement difference method (MDM) as a universal tool allowing estimation of moments and parameters of the state and measurement noises. The recent results are summarised in a common framework and the full (and weighted) MDM implementation is developed. This implementation provides unbiased and weakly consistent estimate of an arbitrary raw or central moment of the state and measurement noises. The performance of the method is illustrated in a numerical study.