An Identification Method for Single-Input Single-Output Linear Systems with White Noise Gain Function

Abstract

A new algorithm is proposed to estimate parameters of Single-Input Single-Output system with white noise gain function. The algorithm is an expansion of the previously proposed algorithms proposed by the author with iterative estimation of the variances of noises. This algorithm uses an iterative calculation and it consists of two parts. One part is the estimation of the system parameters by use of the variances of input and output noises. The estimation of the system parameters is one of the least squares identification algorithms using eigenvector. The other part is the estimation of the variances of input and output noises using the white noise gain function of the identified system parameters. Some simulations show the effectiveness of the proposed method.