The Steiglitz-McBride identification algorithm revisited--Convergence analysis and accuracy aspects

1 June 1981

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 26 (3) , 712-717
https://doi.org/10.1109/tac.1981.1102679

Abstract

The convergence and accuracy properties of the Steiglitz and McBride identification method are examined. The analysis is valid for a sufficiently large number of data. It is shown that the method can converge to the true parameter vector only when the additive output noise is white. In that case the method is proved to be locally convergent to the true parameters. The global convergence properties are also investigated. It is pointed out that the method is not always globally convergent. Some sufficient conditions guaranteeing global convergence are given. Assuming convergence takes place the estimates are shown to be asymptotically Gaussian distributed. An explicit expression is given for their asymptotic covariance matrix.

Keywords

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