Iterative least-squares parameter estimation for ARMA pulse response and output disturbance

P. Lohnberg, G.H.J. Wisselink

    Research output: Contribution to journalArticleAcademic

    3 Citations (Scopus)
    76 Downloads (Pure)

    Abstract

    The parameters of an ARMA system and of additive ARMA output disturbance with mutually different poles were estimated from a record of the disturbed output on a single pulse input. Alternating the steps of iterative inverse filtering with iterations according to generalized least squares appeared very economical for this system. This procedure converged for second-order simulations. Statistics of the estimates were evaluated from these simulation results for two signal-to-noise ratios.
    Original languageUndefined
    Pages (from-to)1252-1255
    JournalIEEE transactions on automatic control
    Volume27
    Issue number6
    DOIs
    Publication statusPublished - 1982

    Keywords

    • IR-55614

    Cite this