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adim

PURPOSE ^

ADIM adaptive information matrix. Estimates the inverse

SYNOPSIS ^

function [IR, CC, D] = adim(U, UC, IR, CC, arg5);

DESCRIPTION ^

 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 < UC << 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 
     'Woodbury''s identity', 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.

CROSS-REFERENCE INFORMATION ^

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