Maximum likelihood based recursive parameter estimation for controlled autoregressive ARMA systems using the data filtering technique

DOI10.1016/J.JFRANKLIN.2015.09.021zbMath1395.93557OpenAlexW2239124740MaRDI QIDQ1660826

Jie Sheng, Feng Ding, Feiyan Chen

Publication date: 16 August 2018

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2015.09.021

zbMATH Keywords

data filteringcontrolled autoregressive ARMA systemsleast squares parameter estimation algorithmmaximum likelihood based recursive parameter estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10) Least squares and related methods for stochastic control systems (93E24) Identification in stochastic control theory (93E12) Realizations from input-output data (93B15)

Related Items (4)

Data filtering based maximum likelihood extended gradient method for multivariable systems with autoregressive moving average noise ⋮ Data filtering based multi-innovation extended gradient method for controlled autoregressive autoregressive moving average systems using the maximum likelihood principle ⋮ Switch detection and robust parameter estimation for slowly switched Hammerstein systems ⋮ Maximum likelihood based identification methods for rational models

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