Title :
The square-root overdetermined recursive instrumental variable algorithm
Author :
Porat, Boaz ; Friedlander, Benjamin
Author_Institution :
Dept. of Electr. Eng., Technion, Israel Inst. of Technol., Haifa, Israel
fDate :
6/1/1989 12:00:00 AM
Abstract :
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 orthogonal and hyperbolic rotations, as necessitated by the nature of the ORIV algorithm
Keywords :
convergence of numerical methods; matrix algebra; parameter estimation; hyperbolic rotations; inverse covariance matrix; matrix algebra; numerical stability; orthogonal rotations; parameter estimation; square-root overdetermined recursive instrumental variable algorithm; Array signal processing; Covariance matrix; Equations; Instruments; Numerical stability; Parameter estimation; Resonance light scattering; Robustness; Signal processing algorithms; Spectral analysis;
Journal_Title :
Automatic Control, IEEE Transactions on
