Finite Data Lattice Algorithms for Instrumental Variable Recursions.

摘要

The last few years have seen a rapid development of the so-called Lattice Algorithms for the fast solution of finite data least squares problems. While a fast algorithm has been given for finite data Instrumental Variable Recursions, as yet no finite data lattice schemes have been given. In this work a lattice algorithm is derived for a finite data Instrumental Variable Recursion and its use in both ARMA and ARMAX Time Series models is indicated. (Author)