Recursive Least Squares Algorithm for Linear Prediction Problems

DOI10.1137/0609026MaRDI QIDQ3809217zbMATH OpenOpenAlexFDO

Authors 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

circulang shift operatorHouseholderlattice algorithmlinear least squares prediction algorithmnumerical complexityoptimal order selectionorthogonalizationtriangular systemWiener filtering

Mathematics Subject Classification ID

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

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• Widely linear prediction for transfer function models based on the infinite past
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• LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION
• The theory of linear prediction
• A fast sequential algorithm for least-squares filtering and prediction
• A derivation of the complex fast Kalman algorithm
• Levinson’s Algorithm, Wold’s Decomposition, and Spectral Estimation
• Comparison of least-squares and stochastic gradient lattice predictor algorithms using two performance criteria
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• Recursive discrete functional expansion
• A note on minimizing the prediction error when the zeros are restricted to the unit circle
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• An extended recursive least-squares \(algorithm^{1}\).
• The optimal causal linear predictor is not Turing computable
• The numerical stability of the lattice algorithm for least squares linear prediction problems

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