Fast recursive AR estimation from an overdetermined system of extended Yule Walker equations

This paper presents a fast recursive least squares algorithm for estimating the AR coefficients in an AR or ARMA model. The algorithm is based on solving an overdetermined system of "t" Extended Yule Walker equations for the "p" AR coefficients. Experimental results indicate that the proposed algorithm is able to provide improved estimates over those of similar recursive algorithms, at a computational cost of an additional 2t multiplies and 2t adds.(1)