Robust recursive identification of multidimensional linear regression models
Lei Guo, Lige Xia, John B. Moore · International Journal of Control · 1988
Stochastic adaptive estimation and control algorithms involving recursive prediction estimates have guaranteed convergence rates when the noise is not ‘too’ coloured, as when a positive-real condition on the noise mode is satisfied. Moreover, the whiter the noise environment the more robust are the algorithms. This paper shows that for linear regression signal models, the suitable introduction of while noise into the estimation algorithm can make it more robust without compromising on convergence rates. Indeed, there are guaranteed attractive convergence rates independent of the process noise colour. No positive-real condition is imposed on the noise model.