Fast time series adaptive filtering algorithms based on the QRD inverse-updates method

Ian K. Proudler

doi:10.1117/12.190855

28 October 1994 Fast time series adaptive filtering algorithms based on the QRD inverse-updates method

Ian K. Proudler

Proceedings Volume 2296, Advanced Signal Processing: Algorithms, Architectures, and Implementations V; (1994) https://doi.org/10.1117/12.190855
Event: SPIE's 1994 International Symposium on Optics, Imaging, and Instrumentation, 1994, San Diego, CA, United States

Abstract

We derive, from first principles, a new adaptive filtering algorithm for time-series data based on the QRD inverse-updates method of Pan and Plemmons. In common with other fast algorithms for time-series adaptive filtering, this algorithm only requires O(p) operations for the solution of p^th order problem. Unlike previous fast algorithm based on the QRD technique, the algorithm presented here (in both square-root and square-root-free forms) explicitly produces the transversal filter weights. The results of some preliminary computer simulations of the algorithm, using finite-precision floating-point arithmetic, are presented.

Citation Download Citation

Ian K. Proudler "Fast time series adaptive filtering algorithms based on the QRD inverse-updates method", Proc. SPIE 2296, Advanced Signal Processing: Algorithms, Architectures, and Implementations V, (28 October 1994); https://doi.org/10.1117/12.190855

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