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Stability of multivariable least-squares models: a solution via spectral analysis

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1 Author(s)
Tugnait, J.K. ; Dept. of Electr. Eng., Auburn Univ., AL, USA

Time-domain least-squares equation-error models are widely used for estimation of an input-output (I/O) parametric transfer function. It is known that an autoregressive constraint on the input is sufficient to ensure stability of the estimated multivariable model. In this letter, we consider a frequency-domain solution to the least-squares equation-error multivariable system identification problem using the power spectrum and the cross-spectrum of the I/O data to estimate the I/O parametric transfer function. The considered approach is shown to yield stable fitted multivariable models for arbitrary stationary inputs so long as they are persistently exciting of sufficiently high order.

Published in:

Signal Processing Letters, IEEE  (Volume:5 ,  Issue: 6 )