recursive least square estimator

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Hello,
I like to know sub block of recursive least square estimator.
Or help me how I can apply initial condition of covariance matrix in a recursive formula?
Thank you
  2 个评论
Michael Madelaire
Are we taking about iteratively reweighted least squares?
Alireza Sedaghati
In fact I want to solve riccati equation in simulink, but it needs initial covariance matrix P(0) and I don't know how it must be inserted to the blocks?

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