The square-root overdetermined recursive instrumental variable algorithm
Copyright policy )The square-root overdetermined recursive instrumental variable algorithm
Summary: This note derives a square-root version of the overdetermined recursive instrumental variable (ORIV) algorithm. This square-root version improves the numerical stability of the algorithm, and avoids the problem of loss of positive-definiteness of the inverse covariance matrix. The algorithm uses square-root arrays, and employs both orthogonal and hyperbolic rotations, as necessitated by the nature of the ORIV algorithm.
overdetermined recursive instrumental variable, Estimation and detection in stochastic control theory, Computational methods in stochastic control, ORIV) algorithm
overdetermined recursive instrumental variable, Estimation and detection in stochastic control theory, Computational methods in stochastic control, ORIV) algorithm
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