An efficient order recursive algorithm with a lattice structure for estimating continuous-time AR process parameters (Q1356129)

The paper is devoted to the normal equation in estimating continuous-time AR process parameters. An order recursive algorithm is proposed which requires \(O(M^2)\) computations, where \(M\) is the order of the AR process, and therefore is computationally efficient. It is similar to the Levinson-type algorithm of Pham and Le Breton. The proposed algorithm however, has a new associated lattice structure. As a consequence, it has a new stability property for continuous time systems. This can be viewed as a continuous time pendant that is recursive-in-order to the well-known discrete-time version. The discrete-time approximation, when sampled-data are given, and connections with other algorithms are also discussed.