|Maximum Likelihood Multi-innovation Stochastic Gradient Estimation for Multivariate Equation-error Systems
Lijuan Liu, Feng Ding*, Cheng Wang, Ahmed Alsaedi, and Tasawar Hayat
International Journal of Control, Automation, and Systems, vol. 16, no. 5, pp.2528-2537, 2018
Abstract : "This paper focuses on the parameter estimation problems of multivariate equation-error systems. A multiinnovation
generalized extended stochastic gradient algorithm is presented as a comparison. Based on the maximum
likelihood principle and the coupling identification concept, the multivariate equation-error system is decomposed
into several regressive identification subsystems, each of which has only a parameter vector, and a coupled subsystem
maximum likelihood multi-innovation stochastic gradient identification algorithm is developed for estimating
the parameter vectors of these subsystems. The simulation results show that the coupled subsystem maximum
likelihood multi-innovation stochastic gradient algorithm can generate more accurate parameter estimates and has
faster convergence rates compared with the multi-innovation generalized extended stochastic gradient algorithm."
Maximum likelihood, multi-innovation, multivariate system, stochastic gradient.