Decomposition-based recursive least squares identification methods for multivariate pseudo-linear systems using the multi-innovation

Ping Ma, Feng Ding and Quanmin Zhu

International Journal of Systems Science, 2018, vol. 49, issue 5, 920-928

Abstract: This paper studies the parameter estimation algorithms of multivariate pseudo-linear autoregressive systems. A decomposition-based recursive generalised least squares algorithm is deduced for estimating the system parameters by decomposing the multivariate pseudo-linear autoregressive system into two subsystems. In order to further improve the parameter accuracy, a decomposition based multi-innovation recursive generalised least squares algorithm is developed by means of the multi-innovation theory. The simulation results confirm that these two algorithms are effective.

Date: 2018
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DOI: 10.1080/00207721.2018.1433247

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