Data Filtering Based Recursive and Iterative Least Squares Algorithms for Parameter Estimation of Multi-Input Output Systems

This paper discusses the parameter estimation problems of multi-input output-error autoregressive (OEAR) systems. By combining the auxiliary model identification idea and the data filtering technique, a data filtering based recursive generalized least squares (F-RGLS) identification algorithm and a data filtering based iterative least squares (F-LSI) identification algorithm are derived. Compared with the F-RGLS algorithm, the proposed F-LSI algorithm is more effective and can generate more accurate parameter estimates. The simulation results confirm this conclusion