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Fast GLS algorithm for parameter estimation

โœ Scribed by M.S. Ahmed

Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
491 KB
Volume
20
Category
Article
ISSN
0005-1098

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โœฆ Synopsis

Akstraet--A computationally efficient off-line algorithm for estimating the parameters of a linear discrete-time SISO system is presented. The algorithm is based on the generalized leastsquares (GLS) principle. It is essentially a correlation version of the GLS method that (1) eliminates all the redundant computations, (2) does not require explicit evaluation of the residuals, (3) does not require explicit data filtering, and (4) eliminates the large storage requirement of the conventional offline GLS algorithm.

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