Previously, financial firms relied on intuition that had been honed over years of exposure to the market. Today, many have ...
Abstract: In this letter, a novel recursive total least squares (RTLS) algorithm that is grounded in a constrained Lagrange optimization of the errors-in-variables model is presented. The proposed ...
Abstract: The forgetting factor is the main control parameter of the recursive least-squares (RLS) algorithm, which is set to balance between the estimate accuracy and the tracking capability.
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