Instrumental variables (IV) and prediction error (PE) like second order recursive algorithms

The second order recursive algorithm for identification of autoregressive exogenous (ARX) systems given by Broman and Andersson (see SYSID´94, 10th IFAC Symposium on System Identification, vol.3, p.447-52, 1994) is extended to an instrumental variables (IV) like second order recursive algorithm and a prediction error (PE) like second order recursive algorithm for identification of processes disturbed by colored noise. The proposed algorithms are demonstrated to have superior tracking capabilities of time varying processes than do the corresponding first order algorithms. The proposed algorithms have the same computational complexity as their first order counterparts, but some extra computer memory is required