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research article
Extended Chandrasekhar recursions
We extend the discrete-time Chandrasekhar recursions for least-squares estimation in constant parameter state-space models to a class of structured time-variant state-space models, special cases of which often arise in adaptive filtering. It can be shown that the much studied exponentially weighted recursive least-squares filtering problem can be reformulated as an estimation problem for a state-space model having this special time-variant structure. Other applications arise in the multichannel and multidimensional adaptive filtering context.
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Type
research article
Authors
Publication date
1994
Publisher
Published in
Volume
39
Issue
3
Start page
619
End page
623
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
December 19, 2017