Recursive Identification of EIV-ARX Models for Time Varying SISO Processes

Abstract

This paper proposes a recursive algorithm, rARX-DIPCA, for identifying errors-in-variables autoregressive models with exogenous input (EIV-ARX), for tracking time-varying SISO processes. Building on a recently developed recursive iterative PCA method, the proposed algorithm recursively updates model parameters and noise variances as new measurements arrive, without storing historical data beyond a specified lag window. The method enables real-time adaptation to sensor degradation, and changes in model coefficients. The algorithm simultaneously identifies process order, time delay, and noise variances while maintaining computational efficiency through online covariance updates. Simulation studies on benchmark systems demonstrate effective tracking performance and practical applicability.