A REALIZATION METHOD OF AN ARMAX LATTICE FILTER

This correspondence proposes a realization method of an ARMAX lattice filter for frequency-weighting ARMAX model identification. The propose d lattice filter uses an exponentially weighted sliding window for the same application as the extended least squares (ELS) achieves. Based on the proposed structure, the algorithm can perform the frequency-wei ghting model identification more easily than the ELS. Further, applied to the ARMAX model identification, the proposed algorithm requires fe wer multiplications than the ELS does.