FFT-based exponentially weighted recursive least squares computations
نویسندگان
چکیده
منابع مشابه
On Exponentially Weighted Recursive Least Squares for Estimating Time-Varying Parameters
The exponentially weighted recursive least-squares (RLS) has a long history as an algorithm to track timevarying parameters in signal processing and time series analysis. By reviewing the optimality conditions of RLS under a regression framework, possible sources of suboptimality of RLS for tracking time-varying parameters, especially when the parameters satisfy a state-space model, are identif...
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 1997
ISSN: 0024-3795
DOI: 10.1016/s0024-3795(96)00532-0