Inherent matrix identities on ARMA lattice filter realization algorithm and their application

Presents the matrix identities that are inherent in the solution of the normal equations for an ARMA lattice filter. This derivation also makes clear the relationship between the recursive least squares (RLS) method and the ARMA lattice filter realization algorithm. Further, as an application of the matrix identities, a new method for model identification with frequency weighting (MIFW) is presented.