回归模型是随机模型的框架性模型，随机差分方程及Ｋａｌｍａ滤波等模型均是回归模型框架中的特殊模型。弄清回归模型的最小二乘递推估计与一次估计的一致性，也就弄清了随机差分方程及Ｋａｌｍａ滤波等模型的递推估计的实质。为此，本文论述最小二乘递推估计与一次估计的一致性。 Regression model is a stochastic model of the framework of the model, stochastic difference equation and Kalma filter and other models are a special model of regression model framework. The consistency between the least-squares recursive estimation of the regression model and the first-order estimate is clarified, and the substance of the recursive estimation of the stochastic difference equation and the Kalma-filtering model is clarified. For this reason, this article discusses the consistency between the least-squares recursion estimation and one-time estimation.