A Stieltjes transform approach for analyzing the RLS adaptive Filter

@article{Vakili2008AST,
title={A Stieltjes transform approach for analyzing the RLS adaptive Filter},
author={Ali Vakili and Babak Hassibi},
journal={2008 46th Annual Allerton Conference on Communication, Control, and Computing},
year={2008},
pages={432-437}
}

Although the RLS filter is well-known and various algorithms have been developed for its implementation, analyzing its performance when the regressors are random, as is often the case, has proven to be a formidable task. The reason is that the Riccati recursion, which propagates the error covariance matrix, becomes a random recursion. The existing results are approximations based on assumptions that are often not very realistic. In this paper we use ideas from the theory of large random… CONTINUE READING