Lattice implementation of some recursive parameter-estimation algorithms†

Linear dynamic models of plants are usually parametrized by the coefficients of difference equations. Lattice structures and their reflection coefficients provide an alternative parametrization that offers several advantages, including numerical robustness, computational efficiency and ease of hardware implementation. The recursive square-root normalized lattice versions of the following well-known parameter-estimation algorithms are presented ; recursive least-squares, recursive instrumental variable, extended least-squares, and recursive maximum-likelihood