Auxiliary model based recursive and iterative least squares algorithm for autoregressive output error autoregressive systems

作者：Jin, Qibing; Cao, Liting; Yang, Ruigeng^*; Wang, Qi; Wang, Zhu

来源：Applied Mathematical Modelling, 2015, 39(22): 7008-7016.

DOI：10.1016/j.apm.2015.02.038

• Least squares
• Auxiliary model
• Recursive method
• Iterative method
• Autoregressive output error autoregressive (AR-DEAR) model

This paper considers the stochastic systems described by the autoregressive output error autoregressive (AR-OEAR) models. The AR-OEAR model is a special output error model which has an extra autoregressive term of the output signal. Basing on the auxiliary model idea, the recursive method and the iterative principle, the auxiliary model based recursive and iterative least squares algorithms are proposed to estimate the parameters of the autoregressive output error autoregressive system which contains the autoregressive output error system model and the autoregressive noise model, respectively. The simulation results indicate that the proposed algorithms can work well.

• 出版日期2015-11-15
• 单位北京化工大学