Adaptive Least Squares

J. Huston McCulloch

Paper: "Adaptive Least Squares: Recursive LS with Constant Noise-to-Signal Ratio," Aug. 9, 2024.

Note: This paper supplants the author's earlier "The Kalman Foundations of Adaptive Least Squares," Aug. 2005. The algorithm is the same, but now it is motivated with the assumption of constant NSR.

Matlab Programs

File ALS.m
File contains Matlab function ALS, which performs an ALS regression, computing the MLE value of the signal/noise variance ratio rho. File also contains function alsrho, which performs an ALS regression for a given value of rho. See initial comment lines for definitions of inputs and outputs. To view without Matlab, download and then open with e.g. TextEdit.
File InflationALS_PCE_11_23.m
File contains driver program producing PCE forecast results for 11/23 as described in paper, using data downloaded from FRED, below. Program is set to perform AR(0) - AR(4), and give global test results.
File PCEPI-30.xls
XLS file with PCE data for 1/1959 - 11/2023, as downloaded from FRED shortly after 11/23 release, and as used by program InflationALS_PCE_11_23.m above.
For questions or comments, contact Hu McCulloch at mcculloch.2@osu.edu.

Entrenched Inflation Reports (as available)

Aug. 2024
Sept. 2024
Oct. 2024
Nov. 2024
Dec. 2024
Jan. 2025
Feb. 2025
Mar. 2025
April 2025
May 2025
June 2025
July 2025
Aug. 2025
Sept. 2025
Oct. 2025
Nov. 2025
Dec. 2025

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