Description: Choose appropriate secondary variables, meet the relevant conditions and parameter estimate can be unbiased consistent. Estimated auxiliary variable method calculation and least square method is quite, but the identification effect is much better than the least square method. Especially when the noise is colored, and noise model structure and not sure, augmented the least squares and the generalized least squares method is generally not used directly, because they need to choose specific model structure, and auxiliary variable method does not need to make sure that noise model structure, so the auxiliary variable method is more agile, but not at the same time auxiliary variable method for noise model parameter estimation.
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RIV.m
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