Robust identification of transfer functions in the s- and z-domains

A frequency-domain maximum-likelihood estimator (MLE) for estimating the transfer function of linear continuous-time systems developed by J. Schoukens et al. (1988) assumes independent Gaussian noise on both the input and the output coefficients. A Gaussian frequency-domain MLE for transfer functions of linear continuous or discrete time invariant systems in an errors-in-variables model is presented. It is demonstrated that most of the properties of the estimator remain unchanged when it is applied to measured input and output Fourier coefficients corrupted with non-Gaussian errors. The result is a robust Gaussian frequency-domain estimator that is very useful for the practical identification of linear systems. The theoretical results are verified by simulations and experiments