Maximum Likelihood-Based Recursive Least-Squares Algorithm for Multivariable Systems with Colored Noises Using the Decomposition Technique

作者：Xia, Huafeng^*; Ji, Yan; Xu, Ling; Hayat, Tasawar

来源：Circuits, Systems, and Signal Processing, 2019, 38(3): 986-1004.

DOI：10.1007/s00034-018-0904-7

• Parameter estimation
• Maximum likelihood
• Decomposition technique
• Least-squares
• Multivariable system

This paper considers the parameter estimation problems for a class of multivariable equation-error systems with colored noises. By using the decomposition technique, a multivariable system is transformed into several subsystems to reduce the computational burden, and a maximum likelihood-based recursive least-squares identification algorithm is developed for estimating the parameters of each subsystem. As a comparison, a multivariable recursive extended least-squares algorithm is presented. The analysis indicates that the proposed algorithm has lower computational complexity than the multivariable recursive extended least-squares algorithm, and the numerical simulation results demonstrate that the proposed method is effective.

• 出版日期2019-3
• 单位台州学院; 青岛科技大学; 江南大学