Recursive Estimation of the General Linear Model with Dependent Errors
具有相关误差的一般线性模型的递归估计
Summary The techniques for recursive estimation of the general linear model are extended to the case of dependent errors with known second-order properties. Recurrence relations for computation and a sequence of independent recursive residuals, useful for testing the constancy of the regression relation over time, are derived and studied. Computational savings are available when the error process is stationary.