Recursive identification for multivariate errors-in-variables systems

The recursive algorithm is given for estimating matrix coefficients of the multivariate errors-in-variables (EIV) systems. It is shown that under mild conditions the estimate given by the algorithm converges to a limit belonging to the solution set of the Yule-Walker equation satisfied by the true coefficients of the system. The sufficient conditions guaranteeing the uniqueness of the solution to the Yule-Walker equation are given. In this case the estimate provided by the recursive algorithm is strongly consistent.

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