First inverse moment of a generalized quadratic form
(1998) In Statistics and Probability Letters 40(4). p.363-370- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1273220
- author
- Lindoff, Bengt LU
- organization
- publishing date
- 1998
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Statistics and Probability Letters
- volume
- 40
- issue
- 4
- pages
- 363 - 370
- publisher
- Elsevier
- external identifiers
-
- scopus:0032533039
- ISSN
- 0167-7152
- DOI
- 10.1016/S0167-7152(98)00137-0
- language
- English
- LU publication?
- yes
- id
- 1597dd52-51d3-441d-ace2-e3da2ac4740c (old id 1273220)
- alternative location
- http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6V1D-3VMW8F6-8-3&_cdi=5672&_user=745831&_orig=search&_coverDate=11%2F15%2F1998&_sk=999599995&view=c&wchp=dGLzVlz-zSkWz&md5=eedd25b8b3f1b993d9c27bf5df0c4e07&ie=/sdarticle.pdf
- date added to LUP
- 2016-04-01 16:23:39
- date last changed
- 2022-03-22 18:21:32
@article{1597dd52-51d3-441d-ace2-e3da2ac4740c, 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.}}, author = {{Lindoff, Bengt}}, issn = {{0167-7152}}, language = {{eng}}, number = {{4}}, pages = {{363--370}}, publisher = {{Elsevier}}, series = {{Statistics and Probability Letters}}, title = {{First inverse moment of a generalized quadratic form}}, url = {{http://dx.doi.org/10.1016/S0167-7152(98)00137-0}}, doi = {{10.1016/S0167-7152(98)00137-0}}, volume = {{40}}, year = {{1998}}, }