Recursive identification of state space systems with coloured process noise and measurement noise

Abstract

This paper concerns the modelling and identification of the state space system, in which both coloured process noise and measurement noise are encountered. By using the state filtering, the state space system with coloured process noise is transformed into a model without correlated noise, and a state filtering-based parameter estimation algorithm is derived on the base of designing a state filter observer using the multi-innovation identification. The validity of the proposed algorithm is verified by given simulation examples.