02417 Lecture 13 part A: RLS

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Recursive least squares

This is part of the course 02417 Time Series Analysis as it was given in the fall of 2017 and spring 2018.

The full playlist is here:

You can download the slides here:

The course is based on the book:
  1. Lasse Engbo Christiansen
Рекомендации по теме
02417 Lecture 13 0:08:36

02417 Lecture 13 part A: RLS

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Комментарии
Автор

Nice explanation video! I have a few question regarding the RLS formulations at 5:59; If the output Y is not 1-dimensional, the matrix-inversion cannot be avoided right? And, a second question I have is the following: At 5:00 it is stated that one should only start calculating theta when R is invertible. How can this be done in the formulations at 5:59 as the recursion depends on the previous theta (meaning you are forced to calculate theta at every instance)? If there is no easy way of doing this with the formulations at 5:59, I will go with the one of 5:00.

MrBheijden
Автор

Thank god for this resolution and crisp fps

juneyang