A step-size control for adaptive filters using a sign-based estimation of the normalized excess mean-squared error

Author(s):  
D. Lippuner ◽  
A.N. Kaelin
Author(s):  
Rondineli Rodrigues Pereira ◽  
Carlos Henrique da Silva ◽  
Giscard Francimeire Cintra Veloso ◽  
Luiz Eduardo Borges da Silva ◽  
Germando Lambert Torres

Author(s):  
Takuto YOSHIOKA ◽  
Kana YAMASAKI ◽  
Takuya SAWADA ◽  
Kensaku FUJII ◽  
Mitsuji MUNEYASU ◽  
...  

2012 ◽  
Vol 16 (S3) ◽  
pp. 355-375 ◽  
Author(s):  
Olena Kostyshyna

An adaptive step-size algorithm [Kushner and Yin,Stochastic Approximation and Recursive Algorithms and Applications, 2nd ed., New York: Springer-Verlag (2003)] is used to model time-varying learning, and its performance is illustrated in the environment of Marcet and Nicolini [American Economic Review93 (2003), 1476–1498]. The resulting model gives qualitatively similar results to those of Marcet and Nicolini, and performs quantitatively somewhat better, based on the criterion of mean squared error. The model generates increasing gain during hyperinflations and decreasing gain after hyperinflations end, which matches findings in the data. An agent using this model behaves cautiously when faced with sudden changes in policy, and is able to recognize a regime change after acquiring sufficient information.


Author(s):  
Alfredo Bonini Neto ◽  
Luis Roberto Almeida Gabriel Filho ◽  
Dilson Amancio Alves

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