APPENDIX A: GENERAL LSL ALGORITHM

I present here the LSL 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 $R^\varepsilon_{0,-1}$ and R^r_0,-1 avoids divisions by 0. The algorithm is:

$$\begin{array} {l} {\tt Input \ parameters:}\\ \begin{array} ... ...)\\ \end{array}\right.\end{array}\right.\end{array}\end{array}$$