The square-root overdetermined recursive instrumental variable algorithm

A square-root version of the overdetermined recursive instrumental variable (ORIV) algorithm is derived. This version improves the numerical stability of the algorithm, and avoids the problem of positive-definiteness of the inverse covariance matrix. The algorithm uses square-root arrays, and both o...

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Bibliographic Details
Published in:	IEEE transactions on automatic control Vol. 34; no. 6; pp. 656 - 658
Main Authors:	Porat, B., Friedlander, B.
Format:	Journal Article
Language:	English
Published:	New York, NY IEEE 01.06.1989 Institute of Electrical and Electronics Engineers
Subjects:	Applied sciences Array signal processing Computer science; control theory; systems Control theory. Systems Covariance matrix Equations Exact sciences and technology Instruments Modelling and identification Numerical stability Parameter estimation Resonance light scattering Robustness Signal processing algorithms Spectral analysis Parameter estimation Dynamic system Square root Recursive method Overdetermination Mathematical method Algorithm Instrumental variable algorithm Numerical stability
ISSN:	0018-9286
Online Access:	Get full text
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