Parameter estimation of stochastic linear systems with noisy input

This paper addresses the problem of parameter estimation of stochastic liner systems with noisy input-output measurements. A new and simple estimation scheme for the variances of the white input and output measurement noises is presented, which is only based on expanding the denominator polynomial of the system transfer function and makes no use of the average least-squares errors. The attractive feature of the iterative least-square based parametric algorithm thus developed is its improved convergence property. The effectiveness of the developed identification algorithm is demonstrated through numerical illustrations.