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

fYear

2012

fDate

23-25 May 2012

Firstpage

2069

Lastpage

2074

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Control and Decision Conference (CCDC), 2012 24th Chinese

Conference_Location

Taiyuan

Print_ISBN

978-1-4577-2073-4

Type

conf

DOI

10.1109/CCDC.2012.6243028

Filename

6243028