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Recursive Identification Methods for Multivariate Output-error Moving Average Systems Using the Auxiliary Model

Qinyao Liu, Feng Ding*, Ahmed Alsaedi, and Tasawar Hayat
International Journal of Control, Automation, and Systems, vol. 16, no. 3, pp.1070-1079, 2018

Abstract : "This paper studies the parameter identification problems of multivariate output-error moving average systems. An auxiliary model based extended stochastic gradient algorithm and based recursive extended least squares algorithm are proposed for estimating the parameters of the multivariate output-error moving average systems. By using the multi-innovation identification theory, an auxiliary model based multi-innovation extended stochastic gradient algorithm is derived for improving the parameter estimation accuracy. Finally, the simulation results indicate that the proposed algorithms can work well."

Keyword : Auxiliary model, multivariate system, parameter estimation, recursive identification

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