Consistent Estimate of Innovations Model*

This paper proposes a numerical solution of the consistent estimates of Kalman gain and the covariance of the innovations process in the innovations model. The estimates are given as solutions of some BMI problem, so an iterative algorithm for solving the problem will be required. An algorithm for a class of BMI problems in which the objective function is non-increasing is applied for solving this problem. Explicit formulations of the estimation error in PO-MOESP method are also derived and shown to be consistent so that the consistent estimate of all the parameters in the innovations model are obtained.