Title :
Suboptimal estimation of the parameters of discrete systems in the presence of correlated noise
Author :
James, P.N. ; Souter, P. ; Dixon, D.C.
Author_Institution :
University of New South Wales, School of Chemical Engineering, Kensington, Australia
Abstract :
Using an unbiased objective function and a fast algorithm which employs an iterative least-squares technique, consistent estimates are obtained for the parameters of a linear difference equation which describes a system having an output corrupted by correlated noise. The method is applied to a simulated process and compared with the generalised least-squares method.
Keywords :
difference equations; discrete time systems; estimation theory; iterative methods; least squares approximations; linear systems; noise; optimisation; correlated noise; discrete systems; fast algorithm; iterative least square technique; linear difference equation; parameter estimation; suboptimal estimation; unbiased objective function;
Journal_Title :
Electronics Letters
DOI :
10.1049/el:19720298
