In this paper, we first describe amatricialNewton-type algorithm designed to solve the multivariable spectrum approximation problem. We then prove itsglobalconvergence. Finally, we apply this approximation procedure tomultivariate spectral estimation, and test its effectiveness through simulation. Simulation shows that, in the case ofshort observation records, this method may provide a valid alternative to standard multivariable identification techniques such as Matlab's PEM and Matlab's N4SID.
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Ramponi et al. (2009) studied this question.
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