A globally convergent matricial algorithm for multivariate spectral estimation

Details A globally convergent matricial algorithm for multivariate spectral estimation A globally convergent matricial algorithm for multivariate spectral estimation

2008-09-29

arxiv.org/abs/0809.5024v1

Mathematics

Optimization and Control

Scientific paper

In this paper, we first describe a matricial Newton-type algorithm designed to solve the multivariable spectrum approximation problem. We then prove its global convergence. Finally, we apply this approximation procedure to multivariate spectral estimation, and test its effectiveness through simulation. Simulation shows that, in the case of short observation records, this method may provide a valid alternative to standard multivariable identification techniques such as MATLAB's PEM and MATLAB's N4SID.

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