Title :
Recursive relations of the criterion functions for the recursive least squares algorithms
Author :
Ma, Junxia ; Xiong, Weili ; Ding, Rui
Author_Institution :
Key Lab. of Adv. Process Control for Light Ind. (Minist. of Educ.), Jiangnan Univ., Wuxi, China
Abstract :
This paper derives the recursive formulas of the computation of the criterion functions for the well-known weighted recursive least squares algorithm and the finite-data-window recursive least squares algorithm for linear regressive models. The analysis indicates that the proposed recursive computation formulas can be extended to the least squares estimation algorithms for pseudo-linear regression models, e.g., the equation error systems.
Keywords :
least squares approximations; recursive estimation; regression analysis; criterion functions; finite data window recursive least square algorithm; least square estimation algorithm; linear regressive model; pseudolinear regression model; recursive computation formulas; recursive formulas; weighted recursive least square algorithm; Computational modeling; Equations; Least squares approximation; Mathematical model; Parameter estimation; Signal processing algorithms; Stochastic processes; Criterion function; Least squares; Parameter estimation; Recursive algorithm; Regressive model;
Conference_Titel :
Control and Decision Conference (CCDC), 2012 24th Chinese
Conference_Location :
Taiyuan
Print_ISBN :
978-1-4577-2073-4
DOI :
10.1109/CCDC.2012.6243028
