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The residual based interactive stochastic gradient algorithms for controlled moving average models |
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| Authors: | Lingyun Wang Xianfang Wang |
| Institution: | a College of Electrical and Electronics Engineering, Huazhong University of Science and Technology, Wuhan 430074, PR China b School of Communication and Control Engineering, Jiangnan University, Wuxi 214122, PR China c Department of Information Engineering, Henan Institute of Science and Technology, Xinxiang 453003, PR China |
| Abstract: | This paper derives a residual based interactive stochastic gradient (ISG) parameter estimation algorithm for controlled moving average (CMA) models and studied the performance of the residual based ISG algorithm under weaker conditions on statistical properties of the noise. Compared with the residual based extended stochastic gradient algorithm for identifying CMA models, the proposed ISG algorithm can give highly accurate parameter estimates by the simulation example. |
| Keywords: | Recursive identification Parameter estimation Convergence properties Stochastic gradient Controlled moving average (CMA) models |
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