A METHOD FOR ESTIMATING THE PARAMETERS OF A STABLE DIFFERENCE EQUATION DRIVEN BY SINUSOIDS AND OBSERVED IN THE PRESENCE OF NONWHITE NOISE

摘要

A computationally feasible and strongly consistent method is considered for estimating the coefficients of The steady-state solution is observed in the presence of nonwhite noise, and the system is driven by a certain selected superposition of sinusoids, u . When the noise is white, the estimates are shown to possess an asymptotic normal distribution with covariance matrix which depends on the coefficients only via the values of