Least squares based iterative parameter estimation algorithm for multivariable controlled ARMA system modelling with finite measurement data

Least squares based iterative parameter estimation algorithm for multivariable controlled ARMA system modelling with finite measurement data

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Article ID: iaor20112747
Volume: 53
Issue: 9-10
Start Page Number: 1664
End Page Number: 1669
Publication Date: May 2011
Journal: Mathematical and Computer Modelling
Authors: , , ,
Keywords: ARIMA processes
Abstract:

Difficulties of identification for multivariable controlled autoregressive moving average (ARMA) systems lie in that there exist unknown noise terms in the information vector, and the iterative identification can be used for the system with unknown terms in the information vector. By means of the hierarchical identification principle, those noise terms in the information vector are replaced with the estimated residuals and a least squares based iterative algorithm is proposed for multivariable controlled ARMA systems. The simulation results indicate that the proposed algorithm is effective.

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