|Least Squares based Iterative Parameter Estimation Algorithm for Stochastic Dynamical Systems with ARMA Noise Using the Model Equivalence
Feng Ding*, Dandan Meng, Jiyang Dai, Qishen Li, Ahmed Alsaedi, and Tasawar Hayat
International Journal of Control, Automation, and Systems, vol. 16, no. 2, pp.630-639, 2018
Abstract : "By means of the model equivalence theory, this paper proposes a model equivalence based least squares
iterative algorithm for estimating the parameters of stochastic dynamical systems with ARMA noise. The proposed
algorithm reduces the number of the unknown noise terms in the information vector and can give more accurate
parameter estimates compared with the generalized extended least squares algorithm. The validity of the proposed
method is evaluated through a numerical example."
Dynamical system, iterative method, least squares, model equivalence, parameter estimation.
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