Square root covariance ladder algorithms
Boaz Porat, B. Friedlander, Martin E. Morf · IEEE Transactions on Automatic Control · 1982
Square root normalized ladder algorithms provide an efficient recursive solution to the problem of multichannel autoregressive model fitting. A simplified derivation of the general update formulas for such ladder forms is presented, and is used to develop the growing memory and sliding memory covariance ladder algorithms. New ladder form realizations for the identified models are presented, leading to convenient methods for computing the model parameters from estimated reflection coefficients. A complete solution to the problem of possible singularity in the ladder update equations is also presented.