rls_update_cpp {onlineforecast}

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