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Robust Adaptive ELS-QR Algorithm for Linear Discrete Time Stochastic Systems Identification

Authors: Ginalber L. O. Serra


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

Digital Object Identifier (DOI):

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