Recursive ladder algorithms for ARMA modeling
D. Lee, B. Friedlander, Martin E. Morf · IEEE Transactions on Automatic Control · 1982
The extension of the all-pole (AR) exact least-squares ladder algorithms to the pole-zero (ARMA) case is presented. The algorithms are based on a general set of recursions obtained by a geometric approach. The recursions obtained are square-root normalized and have much simpler structures than the unnormalized case. Special cases of white input and unknown input are also discussed.