This article considers the identification problem of the jump Markov autoregressive exogenous (JMARX) systems with unknown invariant time‐delay under the framework of recursive expectation‐maximization (REM) algorithm. In this article, a recursive Q‐function is formulated for the JMARX systems, based on which the recursive sufficient statistics are obtained. Then, the parameter vectors, variance, transition probability matrix, and time‐delay are recursively estimated. A numerical example and a simulated continuous fermentation reactor process are employed to illustrate the effectiveness of the proposed algorithm.

中文翻译：

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递归期望最大化算法在线识别时滞跳跃马尔可夫自回归外生系统

本文考虑了在递归期望最大化（REM）算法框架下具有未知不变时滞的跳跃Markov自回归外生（JMARX）系统的识别问题。在本文中，为JMARX系统制定了一个递归Q函数，并以此为基础获得了足够的递归统计量。然后，递归地估计参数向量，方差，转移概率矩阵和时间延迟。数值算例和模拟的连续发酵反应器过程被用来说明所提算法的有效性。