Parameter identification of systems with unmeasured disturbances

Abstract
Parameter identification of discrete‐data systems with unmeasured disturbances is investigated. The systems of both known and unknown orders are considered. For a system of unknown order, a first‐order linear moving model is used for identifying the system. The parameter estimation methods are least squares estimation and generalized least squares estimation (or Markov estimation). A comparison of the results via these two estimation methods is presented.

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