A fast sequential block-processing instrumental variable algorithm and its FFT implementation

The authors present a method to efficiently implement the recursive instrumental variable (RIV) algorithm, which is often encountered in many practical applications. A sequential block-processing algorithm is derived, and its fast Fourier transform (FFT) implementation is discussed. Under several easily met conditions, this method can offer a remarkable computational advantage over the previous fast-RIV. To accommodate the slowly time-varying input situations, an exponentially windowed extension of the result is also given.<>