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A New Iterative Least Squares Parameter Estimation Approach for Equation-error Autoregressive Systems

Lijuan Wan, Feng Ding*, Ximei Liu*, and Chunping Chen
International Journal of Control, Automation, and Systems, vol. 18, no. 3, pp.780-790, 2020

Abstract : This paper investigates the identification methods for controlled autoregressive systems with autoregressive noise (i.e., equation-error autoregressive systems) from given input and output data. By applying the iterative technique and the hierarchical identification principle, an iterative least squares identification algorithm is presented and a recursive generalized least squares algorithm is given for comparison. The basic idea is to replace the unknown noise terms in the information vector with their estimated residuals. The simulation test results show the effectiveness of these algorithms.

Keyword : Hierarchical principle, iterative identification, least squares, parameter estimation.

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