A fast sequential algorithm for least-squares filtering and prediction

Carayannis, G.; Manolakis, D.; Kalouptsidis, N.

doi:10.1109/tassp.1983.1164224

Public

A fast sequential algorithm for least-squares filtering and prediction

Published in IEEE Transactions on Acoustics Speech and Signal Processing • Dec 1, 1983

Authors:

G. Carayannis

D. Manolakis

N. Kalouptsidis

Abstract

A new computationally efficient algorithm for sequential least-squares (LS) estimation is presented in this paper. This fast a posteriori error sequential technique (FAEST) requires 5p MADPR (multiplications and divisions per recursion) for AR modeling and 7p MADPR for LS FIR filtering, where p is t...

Subject

Recursion (computer science)

Algorithm

Kalman filter

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