First inverse moment of a generalized quadratic form

Research output: Contribution to journalArticle

Abstract

In this paper an approximate expression for the first inverse moment sf(1 - lambda) Sigma(k=1)(t) lambda(t-k)phi(k)phi(k)(T) + lambda(t) (1 - lambda)P-0(i-1), where phi(k) is a Gaussian stationary vector process is derived. This generalized quadratic form is the estimate of the information matrix when using the Recursive Least Squares (RLS) algorithm with forgetting factor. This estimator is commonly used when estimating parameters in time-varying linear stochastic systems. (C) 1998 Elsevier Science B.V. All rights reserved.

Details

Authors
  • Bengt Lindoff
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Probability Theory and Statistics
Original languageEnglish
Pages (from-to)363-370
JournalStatistics and Probability Letters
Volume40
Issue number4
Publication statusPublished - 1998
Publication categoryResearch
Peer-reviewedYes