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Steady-state error in adaptive mean-square minimization

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1 Author(s)

This paper considers the steady-state mean-square error when an adaptive linear estimator is used on a stationary time series. The estimator weights are adjusted periodically by moving a small increment in the direction of the estimated gradient. Under very general conditions the asymptotic mean-square error is bounded and under more restrictive conditions is evaluated exactly.

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Information Theory, IEEE Transactions on  (Volume:16 ,  Issue: 4 )