A multivariable Steiglitz-McBride method

Abstract

In this paper, we present an off-line multi-input/multi-output version of the Steiglitz-McBride method, as well as an analytic description of the set of its stationary points. As in the scalar case [13], the description is given in terms of first- and second-order interpolation constraints, respectively, on the model impulse response and covariance sequences. The constraints are related to the theory of g-Markov covariance equivalent realizations and generalize the work of Inouye [7] and King et al. [9].