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Extra info for Adaptive filtering: algorithms and practical implementation
RH = R, its eigenvalues are real. These eigenvalues are equal to or greater than zero given that R is positive semidefinite. Proof: First note that given an arbitrary complex vector w, (wH Rw)H = wH RH (wH )H = wH Rw Therefore, wH Rw is a real number. , Rqi = λi qi . By premultiplying this equation by qH i , it follows that H qH i Rqi = λi qi qi = λi qi 2 where the operation a 2 =|a0 |2 + |a1 |2+ · · · + |aN |2 is the Euclidean norm squared of the vector a, that is always real. Since the term on the left hand is also real, qi 2 = 0, and R is positive semidefinite, we can conclude that λi is real and nonnegative.
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14. B. Widrow and S. D. Stearns, Adaptive Signal Processing, Prentice Hall, Englewood Cliffs, NJ, 1985. 15. J. R. Treichler, C. R. , and M. G. Larimore, Theory and Design of Adaptive Filters, John Wiley & Sons, New York, NY, 1987. 16. B. Farhang-Boroujeny, Adaptive Filters: Theory and Applications, John Wiley & Sons, New York, NY, 1998. 17. S. Haykin, Adaptive Filter Theory, Prentice Hall, Englewood Cliffs, NJ, 4th edition, 2002. 18. A. H. Sayed, Fundamentals of Adaptive Filtering, John Wiley & Sons, Hoboken, NJ, 2003.