A new algorithm for recursive estimation of parameters in controlled ARMA processes

A new algorithm for recursive estimation of parameters in controlled ARMA processes

Recursive Identification of EIV ARMA Processes

Abstract: Easily computable recursive algorithms are proposed for estimating coefficients of A(z), C(z), and the covariance matrix Rw of wk for the multivariate ARMA process A(z)yk = C(z)wk on the basis of the noise-corrupted observations ηk ∆ = yk + ǫk. It is shown that the estimates converge to the true ones under reasonable conditions. An illustrative example is provided, and the simulation ...

ARMA parameter estimation using a novel recursive estimation algorithm with selective updating

Ahstract-This paper investigates an extension of a recursive estimation algorithm (the so-called OBE algorithm) [9]-[ll], which features a discerning update strategy. In particular, an extension of the algorithm to ARMA parameter estimation is presented here along with convergence analysis. The extension is similar to the extended leastsquares algorithm. However, the convergence analysis is com...

New Algorithm for Recursive Estimation in Linear Discrete-Time Systems with Unknown Parameters

Abstract: The problem of recursive filtering for linear discrete-time systems with uncertainties is considered. A new suboptimal filtering algorithm is herein proposed. It is based on the fusion formula, which represents an optimal mean-square linear combination of local Kalman estimates with weights depending on cross-covariances between local filtering errors. In contrast to the optimal weigh...

Bayesian Blind Estimation of H-ARMA Processes

We present a bayesian method for the blind estimation of parameters in nonlinear/nongaussian models. The studied models are called H-ARMA processes. They are generated by a memoryless polynomial transformation of an ARMA process. The nonlinearities are choosen as Her-mite polynomials. After recalling the structure of those models and their main properties that have been reported in previous pub...