Orthogonal parameter estimation algorithm for non-linear stochastic systems

Abstract

An orthogonal parameter estimation algorithm is derived which allows each parameter in a linear–in–the–parameters non–linear difference equation model to be estimated sequentially and quite independently of the other parameters in the model. The algorithm can be applied for any persistently exciting input and provides both unbiased estimates in the presence of correlated noise and an indication of which terms to include in the model. Several simulated examples are included to demonstrate the effectiveness of the algorithm.