Fast GLS algorithm for parameter estimation

A computationally efficient off-line algorithm for estimating the parameters of a linear discrete-time SISO system is presented. The algorithm is based on the generalized least-squares (GLS) principle. It is essentially a correlation version of the GLS method that (1) eliminates all the redundant computations, (2) does not require explicit evaluation of the residuals, (3) does not require explicit data filtering, and (4) eliminates the large storage requirement of the conventional off-line GLS algorithm.

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