Identification of Hammerstein-Wiener ARMAX systems using Extended Kalman Filter

In this study, Extended Kalman Filter (EKF) algorithm is developed to estimate the parameters of Hammerstein-Wiener (H-W) ARMAX models. The basic idea is to estimate the original parameters of the identification model, which are appeared in the form of product terms, directly. While, other algorithms like Extended Forgetting Factor Stochastic Gradient (EFG), Extended Stochastic Gradient (ESG), Forgetting Factor Recursive Least Square (FFRLS) and Kalman Filter (KF), estimate parameters in the product form and they need another algorithms such averaging method (AVE method), singular value decomposition method (SVD method) to separate the parameters. So, the computational complexity of the proposed approach decreases. To show the efficiency of this method the results are compared with EFG and ESG method.