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First inverse moment of a generalized quadratic form

Lindoff, Bengt LU (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.
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author
organization
publishing date
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
2008-12-08 11:49:04
date last changed
2017-01-01 07:04:04
@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},
  volume       = {40},
  year         = {1998},
}