|Two-stage Recursive Least Squares Parameter Estimation Algorithm for Multivariate Output-error Autoregressive Moving Average Systems
Yunze Guo, Lijuan Wan, Ling Xu, Feng Ding*, Ahmed Alsaedi, and Tasawar Hayat
International Journal of Control, Automation, and Systems, vol. 17, no. 6, pp.1547-1557, 2019
Abstract : This paper focuses on the parameter estimation problem of multivariate output-error autoregressive moving average (M-OEARMA) systems. By applying the auxiliary model identiﬁcation idea and the decomposition technique, we derive a two-stage recursive least squares algorithm for estimating the M-OEARMA system. Compared with the auxiliary model based recursive least squares algorithm, the proposed algorithm possesses higher identiﬁcation accuracy. The simulation results conﬁrm the effectiveness of the proposed algorithm.
Auxiliary model, decomposition technique, least squares, parameter estimation, recursive identiﬁcation.