Recursive least squares lattice algorithms--A geometrical approach

Abstract

Several time-recursive least squares algorithms have been developed in recent years. In this paper a geometrical formalism is defined which utilizes a nested family of metric spaces indexed by the data time interval. This approach leads to a simplified derivation of the so-called recursive least squares lattice algorithms (recursive in time and order). In particular, it is found that the resulting structure provides a single framework which encompasses an entire family of fairly complex algorithms, as well as providing geometrical insight into their behavior.