APPENDIX B: GENERAL BURG-TYPE ADAPTIVE ALGORITHM

I present here the Burg-type algorithm for adaptive prediction of joint-process recursion, where x_T is predicted from y_T. Giving a non-0 a-priori value $\sigma^2$ to the denominators avoids divisions by 0. The algorithm is:

$$\begin{array} {l} {\tt Input \ parameters:\ as \ in \ the \ ... ...ld \end{array}\right. \end{array}\right.\end{array}\end{array}$$