Recursive Relations of the Cost Functions for the Least-Squares Algorithms for Multivariable Systems

In this paper, we focus on the recursive computation of the cost functions for the least-squares-type algorithms for multivariable linear regressive models. It is shown that the proposed recursive computation formulas for the cost functions can also be extended to the estimation algorithm of the multivariable equation error models, e.g., the controlled autoregressive models. The simulation results indicate that the proposed algorithm is effective.

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