Geodesic
Recursive multi-channel matrix pencil method
Vestnik Ûžno-Uralʹskogo gosudarstvennogo universiteta. Seriâ, Matematičeskoe modelirovanie i programmirovanie, Tome 12 (2019) no. 2, pp. 97-111

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The Matrix Pencil Method (MPM) approximates the input signal by a sum of complex exponentials. The method works well in many applications (high resolution DOA estimation, time-domain signal prediction, Coriolis Mass Flow Meter (CMF) signal processing). There are many modifications of the classical MPM, among which we mention the Recursive MPM capable of tracking signal parameters in the sliding window mode, and Multi-Channel MPM capable of processing several signals simultaneously which have the same poles. For example, this situation takes place in CMF signal processing where two sensors signals have the same frequencies for all vibration modes. The paper is devoted to combining these two techniques in the Recursive Multi-Channel MPM. This modification allows to track effectively the parameters of several signals with the same poles in the sliding window mode. Algorithms of all methods are summarized; a simulation example is given.
Keywords: matrix pencil method, recursive estimation, singular value decomposition (SVD), updating and downdating SVD, Coriolis Mass Flow Meter signal processing. 
@article{VYURU_2019_12_2_a7,
     author = {O. L. Ibryaeva and A. L. Shestakov and I. I. Fedosov},
     title = {Recursive multi-channel matrix pencil method},
     journal = {Vestnik \^U\v{z}no-Uralʹskogo gosudarstvennogo universiteta. Seri\^a, Matemati\v{c}eskoe modelirovanie i programmirovanie},
     pages = {97--111},
     publisher = {mathdoc},
     volume = {12},
     number = {2},
     year = {2019},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VYURU_2019_12_2_a7/}
}
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O. L. Ibryaeva; A. L. Shestakov; I. I. Fedosov. Recursive multi-channel matrix pencil method. Vestnik Ûžno-Uralʹskogo gosudarstvennogo universiteta. Seriâ, Matematičeskoe modelirovanie i programmirovanie, Tome 12 (2019) no. 2, pp. 97-111. http://geodesic.mathdoc.fr/item/VYURU_2019_12_2_a7/