LMS Identification of CAR Models

LMS Identification of CAR Models

In this paper a new CAR LMS identification algorithm is proposed. It uses an implicit numerical integration formula to build an adaptive predictor from the stochastic differential equation of the CAR model. The performances of the proposed method are evaluated for implicit integration formulas of di...

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Bibliographische Detailangaben
Hauptverfasser: Lahalle, E., Oksman, J.
Format: Tagungsbericht
Sprache:eng
Schlagworte:
adaptive identification
Adaptive signal processing
CAR modeling
Differential equations
Least squares approximation
Performance evaluation
Predictive models
Signal processing
Signal processing algorithms
Signal sampling
State-space methods
Stochastic processes
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Beschreibung
Zusammenfassung:In this paper a new CAR LMS identification algorithm is proposed. It uses an implicit numerical integration formula to build an adaptive predictor from the stochastic differential equation of the CAR model. The performances of the proposed method are evaluated for implicit integration formulas of different orders. Several results are shown, including an application to electrical circuits
DOI:10.1109/ICICS.2005.1689072