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An ARMA robust system identification using a generalized lp norm estimation algorithm

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3 Author(s)
Chen, Bor-Sen ; Dept. of Electr. Eng., Nat. Tsing Hua Univ., Hsinchu, Taiwan ; Jeng-Ming Chen ; Shen-Ching Shern

The parameter estimation of ARMA systems with noisy output data is considered. The system output is corrupted by measurement noise, and the noise distribution is assumed to be unknown. A generalized lp norm iterative estimation algorithm (1<p<∞) is proposed to approach the maximum likelihood estimate of system parameters according to the noise distribution. Since the exponent p of lp norm estimation algorithm is sensitive to the noise distribution, based on the sample kurtosis of the residual, an adequate exponent p of lp norm estimation algorithm can be selected to achieve the efficient parameter estimation at each iteration step. Finally, several simulation results are presented to illustrate the proposed lp norm estimation algorithm; and the authors find that the proposed generalized lp norm estimation algorithm offers significant advantage to robust system parameter estimation problem with unknown noise distribution

Published in:

Signal Processing, IEEE Transactions on  (Volume:42 ,  Issue: 5 )

Date of Publication:

May 1994

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