Abstract: To get unbiassed estimation and speed up the compulation GLS on-line recursive algorithm is used. We have applied to identify a given discrete system with pseudorandom disturbing signals. The simulating results show thai if the order of whitening filter is chosen properly, more accurate parameters, could be obtained while the length of computational data is the same. Finally, how to choose the whitening-filter order to get more accurate parameters with GLS algorithm when limited length of data is availalle is discussed.

Key words: whitening fiter, GLS algorithm, order