Convergence analysis of instrumental variable recursive subspace identification algorithms

The convergence properties of a recently developed recursive subspace identification algorithm are investigated in this paper. The algorithm operates on the basis of an extended instrumental variable (EIV) version of the propagator method for signal subspace estimation. It is proved that, under weak conditions on the input signal and the identified system, the considered MOESP class of recursive subspace identification algorithm converges to a consistent estimate of the propagator and, by extension, of the state space system matrices.