Abstract
It is well known that the least-squares (LS) method gives biased parameter estimates of transfer functions when the output measurement is corrupted by white noise. One possible approach for solving this bias problem is the total-least-squares (TLS) method. Davila proposed a Recursive TLS (RTLS) algorithm based on minimization of the generalized Rayleigh quotient, but it has large computational complexity.In this paper, a new RTLS algorithm saving computational complexity is proposed. The simulation results of numerical examples illustrate the proposed method provides a good performance.
