# Questions tagged [least-squares]

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### FIR Filter Design: Window vs Parks McClellan and Least Squares

Are there any advantages to use a window approach over Parks-McClellan (further abbreviated here as PMcC) or Least Squares algorithms for FIR filter design of a low pass filter? Assume with today's ...
1answer
1k views

### What Does Make an Error Surface Convex? Is It Determined by the Covarinace Matrix or the Hessian?

I am currently learning about least-squares (and other) estimations for regression, and from what I am also reading in some adaptive algorithm literatures, often times the phrase "... and since the ...
1answer
713 views

### How to Improve Least Means Squares (LMS) / NLMS Filter Performance?

Are there ways to increase computational performance of a normalized least squares (NLMS) filter? Multidelay block frequency-domain (MDF) filters have been proposed to do this, but they also take away ...
2answers
1k views

### Is the Kalman Filter a Best Linear Unbiased Estimator (BLUE) for Heteroscedastic Noise?

According to the Gauss-Markov Theorem, a ordinary least squares estimator is BLUE if the noise entering a system is uncorrelated with zero mean and is homoscedastic (has a constant finite variance). I ...
2answers
807 views

### Zero Phase Filter: Determining Initial Conditions for Forward Backward Filtering

Is anybody familiar with Gustafson's algorithm for minimizing transients in forward backward filtering ? I'm trying to implement it and my first guess was to check Matlab's filtfilt.m, since they ...
1answer
4k views

### What's the Difference Between LMS and Gradient Descent Adaptation?

I found algorithms that seems the same to me, but they are described with different names (in field of adaptive filtering). For example: LMS - least-mean-squares seems to be GD - stochastic gradient ...
2answers
3k views

### Estimate the Transfer Function of an Unknown System

Suppose you have a system, H, that you want to estimate its transfer function. You have a finite number of complex input samples, x, and noisy complex (magnitude and phase) output samples, y: In ...
6answers
355 views

### The Least Norm Solution of Under Determined Linear System

Suppose I have a matrix $$A= \begin{pmatrix} 1 & 0 & 1 & 0\\ 0 & 1 & 1& 0\\ \end{pmatrix}$$ where the variables are channel information like assume $X_1$, $X_2$, $X_3$ ...
3answers
6k views

### How to Remove the Periodic Oscillations from a Signal

The task that I have is to remove the annual and semiannual oscillation from a set of temperature measurements, taken over several years, by means of least squares method. I found the method ...
1answer
259 views

### Direct Correlation (DC) Time Delay Estimation: Variance Keeps Decreasing for Increasing SNR?

I'm trying to reproduce the results from this paper "Discrete time techniques for Time Delay Estimation" doi:10.1109/78.193195, for both the correlation and Least Squares. I've generated a random (...
1answer
531 views

### What Is the Difference between RLS, LMS and Wiener Filter? When Is One Preferred Over Another?

I'm dealing with a channel equalization problem where the channel is modeled as a WSS process. I understand LMS utilities a Wiener-like approach, ie it converges to the optimal (wiener) solution. I ...
1answer
1k views

### Constant Modulus Algorithm and the Gradient Operation

CMA is a blind channel equalization algorithm with the details presented above. I am facing 3 difficulties and shall appreciate help Q1: Does $H$ and the bar over $\bar{y_k}$ represent the Transpose ...
2answers
10k views

### Difference Between Equiripple & Least Squares Design for FIR Digital Filters

For an efficient and optimized digital FIR filter design, there are two methods available broadly, Equiripple filter design & Least Squares filter design. A general method for designing a filter ...
1answer
86 views

### Jacobian Computation in Least Squares IIR Filter Design

Long time lurker and first time poster - but unfortunately I haven't had any joy untangling this on my own. I've been studying Mathias Lang's thesis, Algorithms for the Constrained Design of Digital ...
2answers
256 views

1answer
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### Least Angle Regression (LARS) without Matrix Inversion

Sorry if this is too damned long. I did what I could to abbreviate it. The question is about Least Angle Regression (LARS). I'm new to numerical work with matrices. I believe I have a way to ...
0answers
226 views

### Least Squares Approximation for FIR Filter Design

Following this paper , I am trying to make a least-squares algorithm in MATLAB, but for type I (I know about firls()). ...
3answers
250 views

### Least Mean Squares (LMS) Filter Weight Update

I have a general question regarding Least mean squares adaptive filters. Using the example of noise cancellation, I understand that if you have a set of reference signals (S) and corrupted signals (S+...
4answers
303 views

### Sequential Form of the Least Squares Estimator for Linear Least Squares Model

I'm currently working on a project in which I need to find the tilt of a surface. Let's assume I'm only concerned with a single dimension tilt (i.e. slope) to begin. I currently have the ability to ...
2answers
160 views

### Least Square Error Estimation: Conditions for $(A^TA)^{ -1} = A^{-1}(A^T)^{-1}$?

I am new to linear algebra and have this simple question... in least sqaure estimation...the best estimation of the equation $Ax = b$ is $x_{Estimated} = A (A^t A )^{-1} A^t b$...the projection of $b$ ...
2answers
239 views

### Questions on Weighted Least Square Estimation

This is a page from the book linear algebra,geodesy and gps by Gilbert Strang.... the page explains about the justification of the inverse of the of the co variance matrix of measurement vector $b$ in ...
1answer
105 views