Identification of multi-input systems: variance analysis and input design issues

This paper examines the identification of multi-input systems. Motivated by an experiment design problem (should one excite the various inputs simultaneously or separately), we examine the effect of an additional input on the variance of the estimated coefficients of parametrized rational transfer function models, with special emphasis on the commonly used FIR, ARX, ARMAX, OE and BJ model structures. We first show that, for model structures that have common parameters in the input-output and noise models (e.g. ARMAX), any additional input contributes to a reduction of the covariance of all parameter estimates. We then show that the accuracy improvement extends beyond the case of common parameters in all transfer functions, and we show exactly which parameter estimates are improved when a new input is added. We also conclude that it is always better to excite all inputs simultaneously.