James-Stein state filtering algorithms
نویسندگان
چکیده
In 1961, James and Stein discovered a remarkable estimator that dominates the maximum-likelihood estimate of the mean of a p-variate normal distribution, provided the dimension p is greater than two. This paper extends the James–Stein estimator and highlights benefits of applying these extensions to adaptive signal processing problems. The main contribution of this paper is the derivation of the James–Stein state filter (JSSF), which is a robust version of the Kalman filter. The JSSF is designed for situations where the parameters of the state-space evolution model are not known with any certainty. In deriving the JSSF, we derive several other results. We first derive a James–Stein estimator for estimating the regression parameter in a linear regression. A recursive implementation, which we call the James–Stein recursive least squares (JS-RLS) algorithm, is derived. The resulting estimate, although biased, has a smaller mean-square error than the traditional RLS algorithm. Finally, several heuristic algorithms are presented, including a James–Stein version of the Yule–Walker equations for AR parameter estimation.
منابع مشابه
A Family of Selective Partial Update Affine Projection Adaptive Filtering Algorithms
In this paper we present a general formalism for the establishment of the family of selective partial update affine projection algorithms (SPU-APA). The SPU-APA, the SPU regularized APA (SPU-R-APA), the SPU partial rank algorithm (SPU-PRA), the SPU binormalized data reusing least mean squares (SPU-BNDR-LMS), and the SPU normalized LMS with orthogonal correction factors (SPU-NLMS-OCF) algorithms...
متن کاملEstimation of the Multivariate Normal Mean under the Extended Reflected Normal Loss Function
متن کامل
Delay Spoofing Reduction in GPS Navigation System based on Time and Transform Domain Adaptive Filtering
Due to widespread use of Global Positioning System (GPS) in different applications, the issue of GPS signal interference cancelation is becoming an increasing concern. One of the most important intentional interferences is spoofing signals. An effective interference (delay spoof) reduction method based on adaptive filtering is developed in this paper. The principle of method is using adaptive f...
متن کاملLINEAR AND BILINEAR T ( b ) THEOREMS À LA STEIN
In this work, we state and prove versions of the linear and bilinear T (b) theorems involving quantitative estimates, analogous to the quantitative linear T (1) theorem due to Stein.
متن کاملSpeech Enhancement by Modified Convex Combination of Fractional Adaptive Filtering
This paper presents new adaptive filtering techniques used in speech enhancement system. Adaptive filtering schemes are subjected to different trade-offs regarding their steady-state misadjustment, speed of convergence, and tracking performance. Fractional Least-Mean-Square (FLMS) is a new adaptive algorithm which has better performance than the conventional LMS algorithm. Normalization of LMS ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- IEEE Trans. Signal Processing
دوره 46 شماره
صفحات -
تاریخ انتشار 1998