Geodesic
Recursive parametrical identification of~multidimensional linear dynamic systems with local autocorrelated noises in input and output signals
Journal of Samara State Technical University, Ser. Physical and Mathematical Sciences, no. 4 (2011), pp. 102-109

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The recursive algorithm allowing to receive strongly consistent estimates of parameters of multidimensional on an input linear dynamic systems with locally autocorrelated noise in input and output signals is suggested. Numerical examples are included to illustrate the effectiveness of the proposed algorithm.
Keywords: recursive identification, linear dynamic system, stochastic approximation, errors in variables, least square method. 
@article{VSGTU_2011_4_a12,
     author = {D. V. Ivanov and O. A. Katsyuba},
     title = {Recursive parametrical identification of~multidimensional linear dynamic systems with local autocorrelated noises in input and output signals},
     journal = {Journal of Samara State Technical University, Ser. Physical and Mathematical Sciences},
     pages = {102--109},
     publisher = {mathdoc},
     number = {4},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VSGTU_2011_4_a12/}
}
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D. V. Ivanov; O. A. Katsyuba. Recursive parametrical identification of~multidimensional linear dynamic systems with local autocorrelated noises in input and output signals. Journal of Samara State Technical University, Ser. Physical and Mathematical Sciences, no. 4 (2011), pp. 102-109. http://geodesic.mathdoc.fr/item/VSGTU_2011_4_a12/