A filtering based recursive least squares estimation algorithm for pseudo-linear auto-regressive systems

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Ding, Sheng and Ding, Rui and Yang, Erfu (2014) A filtering based recursive least squares estimation algorithm for pseudo-linear auto-regressive systems. Journal of the Franklin Institute, 351 (3). pp. 1801-1809. ISSN 0016-0032 (https://doi.org/10.1016/j.jfranklin.2013.10.018)

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Abstract

This paper uses the filtering technique, transforms a pseudo-linear auto-regressive system into an identification model and presents a new recursive least squares parameter estimation algorithm pseudo-linear auto-regressive systems. The proposed algorithm has a high computational efficiency because the dimensions of its covariance matrices become small compared with the recursive generalized least squares algorithm.

ORCID iDs

Ding, Sheng, Ding, Rui and Yang, Erfu ORCID logoORCID: https://orcid.org/0000-0003-1813-5950;
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