D. V. Ivanov, O. A. Katsyuba, “Recursive parametrical identification of multidimensional linear dynamic systems with local autocorrelated noises in input and output signals”, Vestn. Samar. Gos. Tekhn. Univ., Ser. Fiz.-Mat. Nauki [J. Samara State Tech. Univ., Ser. Phys. Math. Sci.], 2011, Issue 4(25),Pages <nobr>102

This article is cited in 14 papers

Mathematical Modeling

Recursive parametrical identification of multidimensional linear dynamic systems with local autocorrelated noises in input and output signals

D. V. Ivanov, O. A. Katsyuba

Dept. of Mechatronics in Automated Production, Samara State Transport University, Samara

Abstract: The recursive algorithm allowing to receive strongly consistent estimates of parameters of multidimensional on an input linear dynamic systems with locally autocorrelated noise in input and output signals is suggested. Numerical examples are included to illustrate the effectiveness of the proposed algorithm.

Keywords: recursive identification, linear dynamic system, stochastic approximation, errors in variables, least square method.

UDC: 519.254.1

MSC: Primary 93E12; Secondary 62H12

Original article submitted 04/XI/2010
revision submitted – 26/IX/2011

DOI: 10.14498/vsgtu840