Control systems approach to the sample inverse covariance matrix
A new method is proposed for finding the inverse of the covariance (or correlation) matrix. The technique is based on a previous method known as automatic variance control. The technique naturally gives rise to the inverse due to the properties of negative feedback itself rather than by traditional invertion methods. The method can be applied to the non-stationary problem and can form part of a recursive parameter estimation scheme.
covariance matrix parameter estimation rls wiener filter