Tracking time-varying parameters with local regression

Alfred Karsten Joensen, Henrik Aalborg Nielsen, Torben Skov Nielsen, Henrik Madsen

    Research output: Contribution to journalJournal articleResearchpeer-review

    Abstract

    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
    Volume36
    Issue number8
    Pages (from-to)1199-1204
    ISSN0005-1098
    DOIs
    Publication statusPublished - 2000

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