New Approach to Recursive Identification for ARMAX Systems

For the multivariate ARMAX system A ( z ) yk = B ( z ) uk -1+ C ( z ) wk recursive algorithms are proposed for estimating coefficients of A ( z ), B ( z ), and C ( z ) and the covariance matrix Rw of wk , assuming that the orders of A ( z ) , B ( z ) , and C ( z ) are known and the control uk can be...

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