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First inverse moment of a generalized quadratic form

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  • Lindoff, B.

Abstract

In this paper an approximate expression for the first inverse moment of where [phi]k is a Gaussian stationary vector process is derived. This generalized quadratic form is the estimate of the information matrix when using the Recursive Least Squares (RLS) algorithm with forgetting factor. This estimator is commonly used when estimating parameters in time-varying linear stochastic systems.

Suggested Citation

  • Lindoff, B., 1998. "First inverse moment of a generalized quadratic form," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 363-370, November.
    • Handle: RePEc:eee:stapro:v:40:y:1998:i:4:p:363-370
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    References listed on IDEAS

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    1. B. Lindoff & J. Holst, 1996. "Bias And Covariance Of The Recursive Least Squares Estimator With Exponential Forgetting In Vector Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(6), pages 553-570, November.
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