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Recursive solutions of estimating equations and adaptive spectral factorization

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2 Author(s)
Lai, T.L. ; Dept. of Stat., Stanford Univ., CA, USA ; Ying, Z.

A recursive spectral factorization algorithm was developed by V. Solo (ibid., vol.34, no.10, pp.1047-1051, Oct. 1989) to be used with recursive instrumental variables for consistent estimation of the parameters of an ARMAX system, but the convergence of the spectral factorization algorithm is questionable. Herein, a modified adaptive spectral factorization algorithm is shown to converge and a general method for constructing convergent recursive solutions of nonlinear equations that are used to define parameter estimates is also presented

Published in:

Automatic Control, IEEE Transactions on  (Volume:37 ,  Issue: 2 )

Date of Publication:

Feb 1992

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