On Exponentially Weighted Recursive Least Squares for Estimating Time-Varying Parameters and its Application to Computer Workload Forecasting
Motivated by a relationship between the exponentially weighted recursive least squares (RLS) and the Kalman filter (KF) under a special state-space model (SSM), several simple generalizations of RLS are discussed. These generalized RLS algorithms preserve the key feature of exponential weighting but provide additional flexibility for better tracking performance. They can even outperform KF in some situations when the SSM assumption does not hold. The algorithms are applied to a problem of computer workload forecasting with real data.
AMS Subject Classification62M10
KeywordsAdaptive filter computer workload Kalman filter recursive least squares seasonal time series state-space model
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