• DocumentCode
    1156826
  • Title

    On the asymptotic distribution of exponentially weighted prediction error estimators

  • Author

    Stoica, Petre ; Nehorai, Arye

  • Author_Institution
    Dept. of Automat. Control, Polytech. Inst. of Bucharest, Romania
  • Volume
    36
  • Issue
    1
  • fYear
    1988
  • fDate
    1/1/1988 12:00:00 AM
  • Firstpage
    136
  • Lastpage
    139
  • Abstract
    The authors establish the distribution of the exponentially weighted prediction error estimators for a class of general (possibly nonlinear) discrete-time systems. An explicit formula for the covariance matrix of the estimation errors is provided. The distributional results presented hold for a large number N of data points and a weighting (or forgetting) factor λ close to one
  • Keywords
    discrete time systems; error analysis; error statistics; filtering and prediction theory; signal processing; asymptotic distribution; covariance matrix; data points; discrete-time systems; distributional results; exponentially weighted prediction error estimators; Acoustic signal processing; Adaptive signal processing; Digital filters; Eigenvalues and eigenfunctions; Fluctuations; Polynomials; Power harmonic filters; Power system harmonics; Signal processing algorithms; Speech processing;
  • fLanguage
    English
  • Journal_Title
    Acoustics, Speech and Signal Processing, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0096-3518
  • Type

    jour

  • DOI
    10.1109/29.1504
  • Filename
    1504
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1156826