First inverse moment of a generalized quadratic form

Bengt Lindoff

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Sammanfattning

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.
Originalspråkengelska
Sidor (från-till)363-370
TidskriftStatistics and Probability Letters
Volym40
Utgåva4
DOI
StatusPublished - 1998

Ämnesklassifikation (UKÄ)

  • Sannolikhetsteori och statistik

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