The Convergence of output Error Recursions in Infinite Order Moving Average Noise
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We consider the problem of the global convergence of the output error identification scheme in the presence of colored noise. The adaptation scheme utilizes at each step a projection of the parameter estimate vector onto a compact, convex set known to contain the true parameter. We establish convergence of the scheme for infinite order moving average noise with geometrically decaying weights.
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Brillinger, D., Caines, P., Geweke, J., Parzen, E., Rosenblatt, M., & Taqqu, M. S.
The IMA Volumes in Mathematics and its Applications