Maximum Likelihood Recursive Least Squares Estimation for Multivariable Systems.

This paper discusses parameter estimation problems of the multivariable systems described by input-output difference equations. We decompose a multivariable system to several subsystems according to the number of the outputs. Based on the maximum likelihood principle, a maximum likelihood-based recursive least squares algorithm is derived to estimate the parameters of each subsystem. Finally, two numerical examples are provided to verify the effectiveness of the proposed algorithm. [ABSTRACT FROM AUTHOR]