ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS

Carlo Grillenzoni

Journal of Time Series Analysis, 1991, vol. 12, issue 2, 105-127

Abstract: Abstract. A unified treatment of non‐linear estimation, pseudolinear regression and stochastic approximation for open‐loop transfer function models is provided. Pseudolinear regression techniques are used to derive the recursive non‐linear least‐squares estimator, avoiding the methodological problems implicit in traditional derivations. Stochastic approximation analysis is used to investigate in a direct manner the conditions of convergence and consistency of both iterative and recursive algorithms. The various methods are compared using data for an industrial process.

Date: 1991
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