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Analytic center approach to parameter estimation: convergence analysis

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4 Author(s)
Er-Wei Bai ; Dept. of Electr. & Comput. Eng., Iowa Univ., Iowa City, IA, USA ; Minyue Fu ; Tempo, R. ; Yinyu Ye

The so-called analytic center approach to parameter estimation has been proposed as an alternative to the well-known least squares approach. This new approach offers a parameter estimate that is consistent with the past data observations, has a simple geometric interpretation, and is computable sequentially. We study the asymptotic performance of the analytic center approach and show that the resulting estimate converges to the true parameter asymptotically, provided some mild conditions are satisfied. These conditions involve some weak persistent excitation and independence between noise and regressor, similar to the least squares case. This result is used to derive a new parameter estimation approach which offers both good transient and asymptotic performance

Published in:

Acoustics, Speech and Signal Processing, 1998. Proceedings of the 1998 IEEE International Conference on  (Volume:4 )

Date of Conference:

12-15 May 1998