Sequential algorithm for estimation of parameters of an autoregressive process

The set of PARCOR parameters of an autoregressive process is found sequentially and iteratively. It is proven that the equations are decoupled to the first order for small changes in the parameter values. Sequential calculation of the parameters is therefore possible. Using the sign Decorrelator the number of calculations is drastically reduced with little degradation of the performance. Simulation results are given for a specific example. The simulation shows that the system converges and the predietion residual is small and comparable to the excitation of the autoregressive process.