adim.html

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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"                "http://www.w3.org/TR/REC-html40/loose.dtd"><html><head>  <title>Description of adim</title>  <meta name="keywords" content="adim">  <meta name="description" content="ADIM adaptive information matrix. Estimates the inverse">  <meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1">  <meta name="generator" content="m2html &copy; 2003 Guillaume Flandin">  <meta name="robots" content="index, follow">  <link type="text/css" rel="stylesheet" href="../m2html.css"></head><body><a name="_top"></a><div><a href="../index.html">Home</a> &gt;  <a href="index.html">tsa</a> &gt; adim.m</div><!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png">&nbsp;Master index</a></td><td align="right"><a href="index.html">Index for tsa&nbsp;<img alt=">" border="0" src="../right.png"></a></td></tr></table>--><h1>adim</h1><h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>ADIM adaptive information matrix. Estimates the inverse</strong></div><h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>function [IR, CC, D] = adim(U, UC, IR, CC, arg5); </strong></div><h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="fragment"><pre class="comment"> ADIM adaptive information matrix. Estimates the inverse
   correlation matrix in an adaptive way. 

 [IR, CC] = adim(U, UC [, IR0 [, CC0]]); 
   U     input data  
   UC     update coefficient 0 &lt; UC &lt;&lt; 1
   IR0    initial information matrix
   CC0 initial correlation matrix   IR    information matrix (inverse correlation matrix)
   CC  correlation matrix     
  The algorithm uses the Matrix Inversion Lemma, also known as 
     &quot;Woodbury's identity&quot;, to obtain a recursive algorithm.  
     IR*CC - UC*I should be approx. zero. 

 Reference(s):
 [1] S. Haykin. Adaptive Filter Theory, Prentice Hall, Upper Saddle River, NJ, USA 
     pp. 565-567, Equ. (13.16), 1996.</pre></div><!-- crossreference --><h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>This function calls:<ul style="list-style-image:url(../matlabicon.gif)"></ul>This function is called by:<ul style="list-style-image:url(../matlabicon.gif)"></ul><!-- crossreference --><hr><address>Generated on Tue 17-Aug-2004 00:13:21 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> &copy; 2003</address></body></html>

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