The Convergence of output Error Recursions in Infinite Order Moving Average Noise Chapter uri icon

abstract

  • 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.

author list (cited authors)

  • Ren, W., & Kumar, P. R.

citation count

  • 0

complete list of authors

  • Ren, Wei||Kumar, PR

editor list (cited editors)

  • Brillinger, D., Caines, P., Geweke, J., Parzen, E., Rosenblatt, M., & Taqqu, M. S.

Book Title

  • New Directions in Time Series Analysis

publication date

  • January 1993