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Re: [Help-gsl] Incremental Least Squares Fitting


From: Liam Healy
Subject: Re: [Help-gsl] Incremental Least Squares Fitting
Date: Mon, 7 Apr 2008 14:28:45 -0400

I'm interested in the answer to this too.  In the astrodynamics world
at least this is called sequential-batch least squares and involves
saving the information matrix (inverse of the covariance) and the
transformed residuals.  However, you might want to look into Kalman
filters which do this and other things (not in GSL as far as I know).

On Mon, Apr 7, 2008 at 2:15 PM, António Alegria
<address@hidden> wrote:
> Hi,
>
>  I'm considering using the GSL for least squares fitting to represent a
>  continuously updated time series. Instead of saving each new (x,f(x)) and
>  running the regression over all collected data, I would like to
>  incrementally update the model with the most recent reading. Is this
>  possible with GSL?
>
>  Thanks!
>  _______________________________________________
>  Help-gsl mailing list
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