抄録
For the problem of consistently estimating the transfer function model in the presence of colored output noise, a three-step estimation procedure has been previously developed. This procedure exploits the input/output correlation information with respect to the correlation time in the first and second steps by setting the higher model order than the actual one. The bias-compensated least squares (BCLS) estimates are finally obtained by applying the compressive parameter transformation with the actual model order in the third step. This paper extends the above procedure to the case of colored input noise. As a result, it is shown that the extended procedure yields the BCLS estimates as well as in the case of the output noise. The effectiveness of the procedure is demonstrated by a simulation study.
