First inverse moment of a generalized quadratic form

B. Lindoff

Statistics & Probability Letters, 1998, vol. 40, issue 4, 363-370

Abstract: In this paper an approximate expression for the first inverse moment of 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.

Keywords: Recursive; least-squares; estimation; Exponential; forgetting; Generalized; quadratic; forms; Inverse; moments (search for similar items in EconPapers)
Date: 1998
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