Paper ID: 2312.06560

Automatic Regularization for Linear MMSE Filters

Daniel Gomes de Pinho Zanco, Leszek Szczecinski, Jacob Benesty

In this work, we consider the problem of regularization in minimum mean-squared error (MMSE) linear filters. Exploiting the relationship with statistical machine learning methods, the regularization parameter is found from the observed signals in a simple and automatic manner. The proposed approach is illustrated through system identification examples, where the automatic regularization yields near-optimal results.

Submitted: Dec 11, 2023