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Industrial robots are electro-mechanical systems with double integrator behaviour, necessitating operation and model identification under closed-loop control conditions. The Inverse Dynamic Identification Model (IDIM) is a mechanical model based on Newton’s laws that has the advantage of being linear with respect to the parameters. Existing Instrumental Variable (IDIM-IV) estimation provides a robust solution to this estimation problem and the paper introduces an improved IDIM-PIV method that takes account of the additive noise characteristics by adding prefilters that provide lower variance estimates of the IDIM parameters. Inspired by the prefiltering approach used in optimal Refined Instrumental Variable (RIV) estimation, the IDIM-PIV method identifies the nonlinear physical model of the robot, as well as the noise model resulting from the feedback control system. It also has the advantage of providing a systematic prefiltering process, in contrast to that required for the previous IDIM-IV method. The issue of an unknown controller is also considered and resolved using existing parametric identification. The evaluation of the new estimation algorithms on a six degrees-of-freedom rigid robot shows that they improve statistical efficiency, with the controller either known or identified as an intrinsic part of the IDIM-PIV algorithm.