@ARTICLE\{IMM2000-01044,
    author       = "A. K. Joensen and H. A. Nielsen and T. S. Nielsen and H. Madsen",
    title        = "Tracking time-varying parameters with local regression",
    year         = "2000",
    keywords     = "Recursive estimation; Varying-coe\$cient; Conditional parametric; Polynomial approximation; Weighting functions.",
    pages        = "1199-1204",
    journal      = "Automatica",
    volume       = "36",
    editor       = "",
    number       = "8",
    publisher    = "Informatics and Mathematical Modelling, Technical University of Denmark, {DTU}",
    url          = "http://www2.compute.dtu.dk/pubdb/pubs/1044-full.html",
    abstract     = "This paper shows that the recursive least-squares (RLS) algorithm with forgetting factor is a special case of a varying-coe\$cient model, and a model which can easily be estimated via simple local regression. This observation allows us to formulate a new method which retains the {RLS} algorithm, but extends the algorithm by including polynomial approximations. Simulation results are provided, which indicates that this new method is superior to the classical {RLS} method, if the parameter variations are smooth."
}