Three-stage recursive least squares parameter estimation for controlled autoregressive autoregressive systems

A three-stage recursive least squares parameter estimation algorithm is derived for controlled autoregressive autoregressive (CARAR) systems. The basic idea is to decompose a CARAR system into three subsystems, one of which contains one parameter vector, and to identify the parameters of each subsys...

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Bibliographic Details
Published in:Applied mathematical modelling Vol. 37; no. 12-13; pp. 7489 - 7497
Main Authors: Wang, Shijun, Ding, Rui
Format: Journal Article
Language:English
Published: Elsevier Inc 01.07.2013
Subjects:
Algorithms
CARAR system
Computational efficiency
Least squares
Least squares method
Mathematical analysis
Mathematical models
Multi-stage identification
Parameter estimation
Recursive
Recursive identification
Vectors (mathematics)
CARAR system
Recursive identification
Multi-stage identification
Parameter estimation
Least squares
ISSN:0307-904X
Online Access:Get full text
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Summary:A three-stage recursive least squares parameter estimation algorithm is derived for controlled autoregressive autoregressive (CARAR) systems. The basic idea is to decompose a CARAR system into three subsystems, one of which contains one parameter vector, and to identify the parameters of each subsystem one by one. Compared with the recursive generalized least squares algorithm, the dimensions of the involved covariance matrices in each subsystem become small and thus the proposed algorithm has a high computational efficiency. Finally, we verify the proposed algorithm with a simulation example.
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ISSN:0307-904X
DOI:10.1016/j.apm.2013.02.004