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The convergence performance of the adaptive lattice filter (ALF) using the stochastic gradient algorithm is measured by the convergence speed and estimated error variance of the PARCOR coefficient. The convergence properties of the ALF are analysed when the filter input has a Gaussian mixture distribution. First, theoretical expressions for the convergence rate and asymptotic error variance of the PARCOR coefficient are derived, and then the theoretical expressions are compared for single and mixed Gaussian input sequences. It is shown that the convergence performance of the ALF improves as the distribution of the input signal approaches a single Gaussian distribution.