An Adaptive Filter Stability Analysis.
NAVAL RESEARCH LAB WASHINGTON D C
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An adaptive filter has been derived Both continuous and discrete which minimizes the mean square error without having prior knowledge of the statistics. The filter was simulated and shown to have excellent accuracy and settling characteristics for a variety of stationary conditions. In addition, the filters stability characteristics were explored via an analytical development and shown to be stable for the free system case, the uncorrelated case, as well as for the completely correlated case, provided the mean minus one-half the variance of the system coefficient is greater than zero.
- Statistics and Probability