A realization method of an ARMAX lattice filter

In this paper, a method for realization of an ARMAX lattice filter is proposed. Since the ARMAX model is a standard tool in control, it is significant to solve ARMAX model identification problems and the proposed algorithm can solve it. One of the recursive least-squares methods for the ARMAX model identification is the ELS (Extended Least Squares). If the ELS is applied to the ARMAX model identification, it uses o(N/sup 2/) multiplications, where N /spl Delta//sub =/ AR order + MA order + X order. By using the proposed realization method, o(N) multiplications are needed for the ARMAX model identification.