A filtering based recursive least squares estimation algorithm for pseudo-linear auto-regressive systems

作者:Ding Sheng; Ding Rui*; Yang Erfu
来源:Journal of the Franklin Institute, 2014, 351(3): 1801-1809.
DOI:10.1016/j.jfranklin.2013.10.018

摘要

This paper uses the filtering technique, transforms a pseudo-linear auto-regressive system into an identification model and presents a new recursive least squares parameter estimation algorithm pseudolinear auto-regressive systems. The proposed algorithm has a high computational efficiency because the dimensions of its covariance matrices become small compared with the recursive generalized least squares algorithm.