Continuous-time identification using LS-method under colored noise perturbations

Abstract

This paper deals with time-varying matrix parameter identification in continuous-time stochastic systems with correlated noise. The forming filter, which generates this noise from a standard white noise, is assumed to be partially known (a nominal plant plus a bounded uncertainty). The Least Squares Method with a scalar forgetting factor (LSMFF) is proposed to be applied for the estimation of these parameters. A numerical example illustrates the effectiveness of the proposed approach.