Robust Adaptive ELS-QR Algorithm for Linear Discrete Time Stochastic Systems Identification
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چکیده
This work proposes a recursive weighted ELS algorithm for system identification by applying numerically robust orthogonal Householder transformations. The properties of the proposed algorithm show it obtains acceptable results in a noisy environment: fast convergence and asymptotically unbiased estimates. Comparative analysis with others robust methods well known from literature are also presented. Keywords—Stochastic Systems, Robust Identification, Parameter Estimation, Systems Identification.
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