On adaptive threshold intervals for stopping recursive least squares in the space of signals

Article type: Research Article

Authors: Pupeikis, Rimantas

Affiliations: Institute of Mathematics and Informatics, 2600 Vilnius, Akademijos St. 4, Lithuania

Abstract: In the papers (Kaminskas, 1973; Kaminskas and Nemura, 1975) the stopping rule of recursive least squares (RLS) is worked out using the length of the confidence interval for the respective current meaning of the true output signal of a linear dynamic system. The aim of the given paper is the development of techniques for calculating threshold intervals of respective criteria, used in such a stopping rule. In this connection adaptive threshold intervals based on the Cramer-Rao lower bound according to Pupeikis (1995) are proposed here, too. The results of numerical simulation by IBM PC/AT are given.

Keywords: dynamic system, recursive algorithm, threshold, least squares

DOI: 10.3233/INF-1996-7103

Journal: Informatica, vol. 7, no. 1, pp. 27-38, 1996