recursive least square estimator

Hello,

I like to know sub block of recursive least square estimator.

Or help me how I can apply initial condition of covariance matrix in a recursive formula?

Thank you

[Michael Madelaire]

Are we taking about iteratively reweighted least squares?

[Alireza Sedaghati]

In fact I want to solve riccati equation in simulink, but it needs initial covariance matrix P(0) and I don't know how it must be inserted to the blocks?