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
fDate :
1/1/1988 12:00:00 AM
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;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
