广义最小二乘法也是为了改善噪声e(k)为有色噪声时，采用最小二乘和加权最小二乘辨识系统参数为有偏估计的问题。其基本思想是：引入一个所谓白化滤波器，把相关噪声e(k)转化为白噪声v(k)，从而达到应用最小二乘法无偏估计的目的。

Packet : GLS.rar filelist
GLS.m

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