Data filtering based least squares iterative algorithm for parameter identification of output error autoregressive systems

•This letter studies identification problems of output error autoregressive systems.•This letter derives a data filtering based least squares iterative algorithm.•The proposed algorithm is more efficient than the existing iterative ones.

This letter derives a data filtering based least squares iterative identification algorithm for output error autoregressive systems. The basic idea is to use the data filtering technique to transform the original identification model to an equation error model and to estimate the parameters of this model. The proposed algorithm is more efficient and can produce more accurate parameter estimation than the existing least squares iterative algorithm.