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An efficient recursive total least squares algorithm for FIR adaptive filtering

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1 Author(s)
Davila, C.E. ; Dept. of Electr. Eng., Southern Methodist Univ., Dallas, TX, USA

An algorithm for recursively computing the total least squares (TLS) solution to the adaptive filtering problem is described. This algorithm requires O(N) multiplications per iteration to effectively track the N-dimensional eigenvector associated with the minimum eigenvalue of an augmented sample covariance matrix. It is shown that the recursive least squares (RLS) algorithm generates biased adaptive filter coefficients when the filter input vector contains additive noise. The TLS solution on the other hand, is seen to produce unbiased solutions. Examples of standard adaptive filtering applications that result in noise being added to the adaptive filter input vector are cited. Computer simulations comparing the relative performance of RLS and recursive TLS are described

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Signal Processing, IEEE Transactions on  (Volume:42 ,  Issue: 2 )