Data filtering based maximum likelihood extended gradient method for multivariable systems with autoregressive moving average noise

摘要

For multivariable systems with autoregressive moving average noises, we decompose the multivariable system into m subsystems (m denotes the number of outputs) and present a maximum likelihood generalized extended gradient algorithm and a data filtering based maximum likelihood extended gradient algorithm to estimate the parameter vectors of these subsystems. By combining the maximum likelihood principle and the data filtering technique, the proposed algorithms are effective and have computational advantages over existing estimation algorithms. Finally, a numerical simulation example is given to support the developed methods and to show their effectiveness. (c) 2018 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.