Abstract

An iterative algorithm for parameter identification in non-linear discrete systems is developed. It is assumed that the Form of the nonlinear difference equation describing the system is known. The input—measurements of the system are assumed to be corrupted by white noise. Knowledge of various moments of the noises are required in the algorithm. Convergence of the algorithm is given. Stochastic linear systems identification can be treated as a special case. Simulation results of non-linear and linear systems identification are included.

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