Recursive Least Squares Method of Regression Coefficients Estimation as a Special Case of Kalman Filter

Sergey M. Borodachev

Abstract


The simple derivation of recursive least squares method equations is given as special case of Kalman filter estimation of a constant system state under changing observation conditions.

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Literaturhinweise


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Aivazian SA, Mkhitarian VS. Applied statistics and essentials of econometrics. UNITY, Moscow, 1998.


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