RLS: Recursive Least Squares

RLSR Documentation

Recursive Least Squares

Description

Compute recursive least squares estimation

Usage

RLS(y, x, ist = 30, xpxi = NULL, xpy0 = NULL)

Arguments

y

data of dependent variable

x

data matrix of regressors

ist

initial number of data points used to start the estimation

xpxi

Inverse of the X'X matrix

xpy0

Initial value of X'y.

Value

beta

Time-varying regression coefficient estimates

resi

The residual series of recursive least squares estimation

Note

This function is used internally, but can also be used as a command.

Author(s)

Ruey S. Tsay


d-/MTS documentation built on June 12, 2022, 12:50 a.m.