Hierarchical extended least squares estimation approaches for a multi-input multi-output stochastic system with colored noise from observation data

• Published in: Journal of the Franklin Institute Vol. 357; no. 15; pp. 11094 - 11110
• Main Authors: Ding, Feng, Zhang, Xiao, Lu, Xian, Zhan, Xi-Sheng, Alsaedi, Ahmed, Hayat, Tasawar
• Format: Journal Article
• Language: English
• Published: Elmsford Elsevier Ltd 01.10.2020; Elsevier Science Ltd
• Subjects: Algorithms; Autoregressive moving average; Decomposition; Estimating techniques; Input output; Least squares; Parameter estimation; Random variables; Stochastic models; Stochastic systems; Studies; Subsystems; System effectiveness

•The hierarchical identification principle is used to study the problem of parameter identification.•A recursive extended least squares (RELS) algorithm and a decomposition-based recursive extended least squares (D-RELS) algorithm are derived.•The RELS algorithm and D-RELS algorithm can give accurat...