Publication
Structured matrices and fast RLS adaptive filtering
Abstract
We present a new approach to the discrete-time Chandrasekhar recursions and some generalizations thereof. We extend the recursions to a class of structured time-variant state-space models, and discuss connections with the (generalized) Schur algorithm. We also apply the extended recursions to the adaptive filtering problem and give a transparent derivation of fast recursive least-squares algorithms.
Official source
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