Finite data lattice algorithms for instrumental variable recursions

The last few years have seen a rapid development of the so-called lattice algorithms for the fast solution of finite data least-squares problems. While a fast algorithm has been given for finite data instrumental variable recursions, as yet no finite data lattice schemes have been given. In this work, a lattice algorithm is derived for a finite data instrumental variable recursion, and its use in both ARMA and ARX time series models is indicated.