Maximum likelihood least squares identification method for input nonlinear finite impulse response moving average systems

Least squares and maximum likelihood

Maximum Likelihood Recursive Least Squares Estimation for Multivariable Systems

This paper discusses parameter estimation problems of the multivariable systems described by input–output difference equations. We decompose a multivariable system to several subsystems according to the number of the outputs. Based on the maximum likelihood principle, a maximum likelihood-based recursive least squares algorithm is derived to estimate the parameters of each subsystem. Finally, t...

Recursive Extended Least Squares Parameter Estimation for Wiener Nonlinear Systems with Moving Average Noises

Many control algorithms are based on the mathematical models of dynamic systems. System identification is used to determine the structures and parameters of dynamic systems. Some identification algorithms (e.g., the least squares algorithm) can be applied to estimate the parameters of linear regressive systems or linear-parameter systems with white noise disturbances. This paper derives two rec...

Maximum Likelihood Identification of Gaussian Autoregressive Moving Average Models

Least squares methods in maximum likelihood problems

It is well known that the GaussNewton algorithm for solving nonlinear least squares problems is a special case of the scoring algorithm for maximizing log likelihoods. What has received less attention is that the computation of the current correction in the scoring algorithm in both its line search and trust region forms can be cast as a linear least squares problem. This is an important observ...