Convergence of the recursive identification algorithms for multivariate pseudo‐linear regressive systems

Abstract

SummaryThe performance analysis of the recursive algorithms for the multivariate systems with an autoregressive moving average noise process is still open. This paper analyzes the convergence of two recursive identification algorithms, the multivariate recursive generalized extended least squares algorithm and the multivariate generalized extended stochastic gradient algorithm, for pseudo‐linear multivariate systems and proves that the parameter estimation errors consistently converge to zero under persistent excitation conditions. The simulation results show that the proposed algorithms work well. Copyright © 2015 John Wiley & Sons, Ltd.