Two-stage recursive identification algorithms for a class of nonlinear time series models with colored noise

Xu, Huan and Ding, Feng and Gan, Min and Yang, Erfu (2020) Two-stage recursive identification algorithms for a class of nonlinear time series models with colored noise. International Journal of Robust and Nonlinear Control. pp. 1-17. ISSN 1049-8923 (In Press)

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    Abstract

    This paper concentrates on the recursive identification algorithms for the exponential autoregressive model with moving average noise. Using the decomposition technique, we transform the original identification model into a linear and nonlinear sub-identification model and derive a two-stage least squares extended stochastic gradient algorithm. In order to improve the parameter estimation accuracy, we employ the multi-innovation identification theory and develop a two-stage least squares multi-innovation extended stochastic gradient algorithm. A simulation example is provided to test the effectiveness of the proposed algorithms.