Estimation of ARMAX Systems and Strictly Positive Real Condition

Jianming LU  Takashi YAHAGI  Jianting CAO  

IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E78-A   No.5   pp.641-643
Publication Date: 1995/05/25
Online ISSN: 
Print ISSN: 0916-8508
Type of Manuscript: LETTER
Category: Digital Signal Processing
ARMAX system,  parameter estimation,  strictly positive real,  extended least-squares algorithm,  

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This letter presents new estimation algorithm of ARMAX systems which do not always satisfy the strictly positive real (SPR) condition. We show how estimated parameters can converge to their true values based on the overparameterized system. Finally, the results of computer simulation are presented to illustrate the effectiveness of the proposed method.