rls_update_cpp: Calculating k-step recursive least squares estimates

In onlineforecast: Forecast Modelling for Online Applications

Calculating k-step recursive least squares estimates

Description

This function applies the k-step recursive least squares scheme to estimate parameters in a linear regression model.

Arguments

y	Vector of observation
X	Matrix of input variables (design matrix)
theta	Vector of parameters (initial value)
P	Covariance matrix (initial value)
lambda	Forgetting factor
k	Forecast horizon
n	Length of the input
np	Dimension of P (np x np)
istart	Start index
kmax	Keep only the last kmax rows for next time

onlineforecast documentation built on Oct. 12, 2023, 5:15 p.m.