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

P. Lohnberg; G.H.J. Wisselink

doi:10.1109/TAC.1982.1103099

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

P. Lohnberg, G.H.J. Wisselink

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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 language	Undefined
Pages (from-to)	1252-1255
Journal	IEEE transactions on automatic control
Volume	27
Issue number	6
DOIs	https://doi.org/10.1109/TAC.1982.1103099
Publication status	Published - 1982

Keywords

IR-55614

Access to Document

10.1109/TAC.1982.1103099

01103099

Cite this

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title = "Iterative least-squares parameter estimation for ARMA pulse response and output disturbance",

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.",

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AU - Wisselink, G.H.J.

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N2 - 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.

AB - 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.

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U2 - 10.1109/TAC.1982.1103099

DO - 10.1109/TAC.1982.1103099

M3 - Article

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VL - 27

SP - 1252

EP - 1255

JO - IEEE transactions on automatic control

JF - IEEE transactions on automatic control

IS - 6

ER -