Parameter estimation in nonlinear systems with auto and crosscorrelated noise (Q5953542)

The Gohberg-Heinig explicit formula for the inversion of a block-Toeplitz matrix is used to build an estimator of the inverse of the covariance matrix of a multivariable autoregressive process. This estimator is applied to maximum likelihood parameter estimation in nonlinear dynamical systems with output measurements corrupted by additive auto and crosscorrelated noise. The efficiency of the obtained estimation scheme is illustrated via Monte Carlo simulations and compared with an alternative obtained by extending a classical technique of linear system identification to the framework of this paper. The consequence is an improvement of the estimator in comparison with classical methods. An accurate confidence region around the estimated parameters is also obtained.