Best Linear Recursive Estimation
Patrick L. Odell, Truman O. Lewis · Journal of the American Statistical Association · 1971
This article presents a matrix formulation of recursive forms for best linear unbiased estimators [Xcirc]N of the parameter vector x in the linear model yi=hix+ei, i = 1,2, ···, N when the observation vectors yi are correlated. If data are collected in sequence one can formulate recursive forms of the estimator [Xcirc]N so that it is not necessary to store all the previous data but only previous estimates and current data. This requires less storage space to obtain best linear unbiased estimators. This is especially advantageous in real-time estimation problems.