Instrumental variables (IV) and prediction error (PE) like second order recursive algorithms

Author

Broman, Holger ; Åndersson, Ake

Author_Institution

Dept. of Appl. Electron., Chalmers Univ. of Technol., Goteborg, Sweden

Volume

3

fYear

1996

fDate

7-10 May 1996

Firstpage

1830

Abstract

The second order recursive algorithm for identification of autoregressive exogenous (ARX) systems given by Broman and Andersson (see SYSID´94, 10th IFAC Symposium on System Identification, vol.3, p.447-52, 1994) is extended to an instrumental variables (IV) like second order recursive algorithm and a prediction error (PE) like second order recursive algorithm for identification of processes disturbed by colored noise. The proposed algorithms are demonstrated to have superior tracking capabilities of time varying processes than do the corresponding first order algorithms. The proposed algorithms have the same computational complexity as their first order counterparts, but some extra computer memory is required

Keywords

autoregressive processes; computational complexity; error analysis; filtering theory; parameter estimation; recursive estimation; time-varying systems; tracking; autoregressive exogenous systems; colored noise; computational complexity; computer memory; first order algorithms; identification; prediction error; second order recursive algorithm; time varying processes; tracking; Colored noise; Computational complexity; Covariance matrix; Equations; Filters; Instruments; Paper technology; Parameter estimation; Prediction algorithms; White noise;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech, and Signal Processing, 1996. ICASSP-96. Conference Proceedings., 1996 IEEE International Conference on

Conference_Location

Atlanta, GA

ISSN

1520-6149

Print_ISBN

0-7803-3192-3

Type

conf

DOI

10.1109/ICASSP.1996.544224

Filename

544224