Linear prediction theory. A mathematical basis for adaptive systems

zbMath0727.62093MaRDI QIDQ1188618

Peter Strobach

Publication date: 17 September 1992

Published in: Springer Series in Information Sciences (Search for Journal in Brave)

zbMATH Keywords

algorithmsstabilitytrackingadaptive systemsrecursive least squaresSherman-Morrison identitynormal equationslinear predictionvector autoregressive processnumerical accuracysignal modelorthogonalization procedureinverse covariance matrixAR modelLevinson-Durbin algorithmleast square estimationalgorithms of Levinson typediscrete form of the Wiener-Hopf equationFast estimation algorithmsfast Kalman algorithminner-product recursionsjoint process estimationladder algorithmsprediction error filterrecursive inversion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Prediction theory (aspects of stochastic processes) (60G25)

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