A recursive algorithm for simultaneous identification of model order and parameters

Author

Niu, Shaohua ; Xiao, Deyun ; Fisher, D. Grant

Author_Institution

Dept. of Autom., Tsinghua Univ., Beijing, China

Volume

38

Issue

5

fYear

1990

fDate

5/1/1990 12:00:00 AM

Firstpage

884

Lastpage

886

Abstract

A recursive identification algorithm for SISO CARMA systems is presented based on an augmented information matrix (AIM). Decomposition of the AIM using UDU factorization provides simultaneous, recursive estimates of both the system parameters and the loss functions from order 0 to n, where n is the maximum possible order of the real process and U and D are upper and diagonal matrices, respectively. The most appropriate model order is then determined by examination of the loss functions. This approach results in a computationally efficient and numerically robust algorithm for systems of unknown or variable model order

Keywords

matrix algebra; parameter estimation; statistical analysis; SISO CARMA systems; UDU factorization; augmented information matrix; autoregressive moving average system; computationally efficient; controlled ARMA; diagonal matrices; loss functions; model order; numerically robust algorithm; recursive algorithm; simultaneous identification; system parameters; Acoustic signal processing; Automation; Chemical engineering; Matrix decomposition; Parameter estimation; Recursive estimation; Robustness; Speech; System identification;

fLanguage

English

Journal_Title

Acoustics, Speech and Signal Processing, IEEE Transactions on

Publisher

ieee

ISSN

0096-3518

Type

jour

DOI

10.1109/29.56017

Filename

56017