Asymptotically optimal smoothing of averaged LMS estimates for regression parameter tracking (Q1614388)
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scientific article; zbMATH DE number 1797112
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotically optimal smoothing of averaged LMS estimates for regression parameter tracking |
scientific article; zbMATH DE number 1797112 |
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Asymptotically optimal smoothing of averaged LMS estimates for regression parameter tracking (English)
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5 September 2002
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This paper considers the estimates formed by the LMS (least mean-squares) algorithm for a standard linear regression. It is shown that smoothing the LMS estimates using a matrix updating will lead to smoothed estimates with optimum tracking properties, also in case the true parameters are slowly changing as a random walk. It is also shown that the same accuracy can be obtained for a modified algorithm, SLAMS, which is based on averages and requires far fewer computations.
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linear regression
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LMS
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slow random walk
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parameter tracking
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smoothing
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asymptotic MSE
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