A new unwindowed lattice filter for RLS estimation

Adaptive lattice algorithms are derived for the solution of unwindowed least squares estimation problems for AR and FIR models. The basic approach is to embed the unwindowed problem in a larger prewindowed problem and then eliminate superfluous terms in the lattice. Initializations are given to allow the lattice to use no initial parameter estimates or to include initial parameter estimates with desired weightings in the quadratic criterion for parameter estimation. A numerical example is given.<
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