Recursive identification for multivariate errors-in-variables systems

The recursive algorithm is given for estimating matrix coefficients of the multivariate errors-in-variables (EIV) systems. It is shown that under mild conditions the estimate given by the algorithm converges to a limit belonging to the solution set of the Yule–Walker equation satisfied by the true coefficients of the system. The sufficient conditions guaranteeing the uniqueness of the solution to the Yule–Walker equation are given. In this case the estimate provided by the recursive algorithm is strongly consistent.