Description: Augmented least squares of recursion algorithm corresponding noise model for moving average noise, expanded parameter vector and data vector H (k) of the dimension, the noise model identification and at the same time into consideration. Least square method can only obtain process model parameter estimation, and augmented least squares method at the same time can obtain noise model parameter estimation, if noise model for the average sliding model,, it can only use RELS algorithm to obtain unbiased estimation. When the data length is bigger, the identification accuracy is lower than maximum likelihood method.
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RELS.m
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