Title :
A fast algorithm for optimum linear predictors
fDate :
10/1/1973 12:00:00 AM
Abstract :
An algorithm is given for calculation of the time-varying-coefficients of the linear least squares predictors for stationary processes. The algorithm requires an order of magnitude fewer arithmetic operations than the best of the earlier known algorithms.
Keywords :
Least-squares estimation; Prediction methods; Arithmetic; Covariance matrix; Equations; Kalman filters; Least squares methods; Matrix converters; Matrix decomposition; Maximum likelihood detection; State-space methods; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100405
