Recursive estimation of linear systems

Abstract

The estimation of parameters for a scalar linear system with rational transfer function is considered, the estimates being updated each time a new data point comes to hand. Two well-known algorithms are compared by simulation with a method related to the three-stage algorithm of Hannan & Rissanen (1982); a computation scheme using Givens transformations is proposed which makes the three-stage recursive algorithm economical. A central limit theorem is proved for the estimators obtained by the three-stage process.