I am trying to solve the regression Y=AX where Y is the response, X the input, and A the regression coefficients. I came up with the following iterative algorithm:
Ak+1 = cYU + Ak (I-cXU),
where:
c is an arbitrary constant
U is an arbitrary matrix such that YU has same dimension as A. For instance U = transposed(X) works.
A0 is the initial estimate for A. For instance A0 is the correlation ve…