Performance analysis and FTF version of the generalized sliding window recursive least-squares (GSWRLS) algorithm

@article{Maouche1995PerformanceAA,
  title={Performance analysis and FTF version of the generalized sliding window recursive least-squares (GSWRLS) algorithm},
  author={Karim Maouche and D. T. M. Slock},
  journal={Conference Record of The Twenty-Ninth Asilomar Conference on Signals, Systems and Computers},
  year={1995},
  volume={1},
  pages={685-689 vol.1}
}
We derive a new RLS algorithm: the generalized sliding window RLS (GSWRLS) algorithm and its fast numerically stabilized version: the GSW SFTF algorithm. The generalised window used consists of an exponential decay with base /spl lambda/ for the first L lags, a decrease by a factor 1-/spl alpha/ at lag L, and a further exponential decay with base /spl lambda/ beyond lag L. The exponential and rectangular windows are special cases of the generalized window. We analyze the steady-state excess… CONTINUE READING
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