Two-stage least squares based iterative estimation algorithm for CARARMA system modeling |
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| Authors: | Feng Ding |
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| Institution: | Key Laboratory of Advanced Process Control for Light Industry (Ministry of Education), Jiangnan University, Wuxi 214122, PR China; Control Science and Engineering Research Center, Jiangnan University, Wuxi 214122, PR China |
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| Abstract: | For stochastic systems described by the controlled autoregressive autoregressive moving average (CARARMA) models, a new-type two-stage least squares based iterative algorithm is proposed for identifying the system model parameters and the noise model parameters. The basic idea is based on the interactive estimation theory and to estimate the parameter vectors of the system model and the noise model, respectively. The simulation results indicate that the proposed algorithm is effective. |
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| Keywords: | Least squares Parameter estimation Iterative identification Recursive identification |
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