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

P. Lohnberg, G.H.J. Wisselink

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    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
    Issue number6
    Publication statusPublished - 1982


    • IR-55614

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