Convergence analysis of refined instrumental variable method for continuous-time system identification

Abstract

The refined instrumental variable method for continuous-time systems, abbreviated as the RIVC method, has been well accepted and used successfully for years in many disciplines. This study fills up a theoretical gap by proving the convergence property of the RIVC method: under some mild assumptions, the estimate from the RIVC method locally converges in one iteration to the true parameter in the asymptotic case. A numerical example is presented to demonstrate the convergence property of the RIVC method.