Maximum likelihood parameter estimation algorithm for controlled autoregressive autoregressive models

Abstract

A maximum likelihood parameter estimation algorithm is derived for controlled autoregressive autoregressive (CARAR) models based on the maximum likelihood principle. In this derivation, we use an estimated noise transfer function to filter the input–output data. The simulation results show that the proposed estimation algorithm can effectively estimate the parameters of such class of CARAR systems and give more accurate parameter estimates than the recursive generalized least-squares algorithm.

Keywords:

• least squares
• maximum likelihood
• parameter estimation
• recursive identification
• stochastic systems

2010 AMS Subject Classifications :

• 93B30
• 93A30