Consistent normalized least mean square filtering with noisy data matrix

When the ordinary least squares method is applied to the parameter estimation problem with noisy data matrix, it is well-known that the estimates turn out to be biased. While this bias term can be somewhat reduced by the use of models of higher order, or by requiring a high signal-to-noise ratio (SNR), it can never be completely removed. Consistent estimates can be obtained by means of the instrumental variable method (IVM),or the total/data least squares method (TLS/DLS). In the adaptive setting for the such problem, a variety of least-mean-squares (LMS)-type algorithms have been researched rather than their recursive versions of IVM or TLS/DLS that cost considerable computations. Motivated by these observations, we propose a consistent LMS-type algorithm for the data least square estimation problem. This novel approach is based on the geometry of the mean squared error (MSE) function, rendering the step-size normalization and the heuristic filtered estimation of the noise variance, respectively, for fast convergence and robustness to stochastic noise. Monte Carlo simulations of a zero-forcing adaptive finite-impulse-response (FIR) channel equalizer demonstrate the efficacy of our algorithm.