Fast Adaptive Identi cation of Stable Innovation Filters
نویسنده
چکیده
The adaptive identiication of the impulse response of an innovation lter is considered. The impulse response is a nite sum of known basis functions with unknown coeecients. These unknown coeecients are estimated using a pseudolinear regression. This estimate is implemented using a square root algorithm based on a displacement rank structure. When the initial conditions have low displacement rank, the lter update is O(n). If the lter architecture is chosen to be triangular input balanced, the estimation problem is well-conditioned and a simple, low rank initialization is available.
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