Tracking time-varying parameters with local regression

Publication: Research - peer-reviewJournal article – Annual report year: 2000

View graph of relations

This paper shows that the recursive least-squares (RLS) algorithm with forgetting factor is a special case of a varying-coe\$cient model, and a model which can easily be estimated via simple local regression. This observation allows us to formulate a new method which retains the RLS algorithm, but extends the algorithm by including polynomial approximations. Simulation results are provided, which indicates that this new method is superior to the classical RLS method, if the parameter variations are smooth.
Original languageEnglish
JournalAutomatica
Publication date2000
Volume36
Issue8
Pages1199-1204
ISSN0005-1098
DOIs
StatePublished
CitationsWeb of Science® Times Cited: 8
Download as:
Download as PDF
Select render style:
APAAuthorCBEHarvardMLAStandardVancouverShortLong
PDF
Download as HTML
Select render style:
APAAuthorCBEHarvardMLAStandardVancouverShortLong
HTML
Download as Word
Select render style:
APAAuthorCBEHarvardMLAStandardVancouverShortLong
Word

ID: 2712686