Recursive Least Squares Algorithm for Linear Prediction Problems

DOI10.1137/0609026zbMath0659.65148OpenAlexW1978180708MaRDI QIDQ3809217

Sanzheng Qiao

Publication date: 1988

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0609026

zbMATH Keywords

Wiener filteringorthogonalizationtriangular systemnumerical complexityHouseholderlattice algorithmcirculang shift operatorlinear least squares prediction algorithmoptimal order selection

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Orthogonalization in numerical linear algebra (65F25) Probabilistic methods, stochastic differential equations (65C99)

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