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Recursive solution of the covariance equations for linear prediction

✍ Scribed by L.F. Chaparro; M. Boudaoud

Publisher
Elsevier Science
Year
1985
Tongue
English
Weight
338 KB
Volume
320
Category
Article
ISSN
0016-0032

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✦ Synopsis

An efjicient recursive algorithm is presented to solve the "covariance" equations of the linear prediction modeling procedure. This algorithm is based on the conjugate direction optimization procedure and the expanding subspace theorem, and we show it is a natural extension as well as a geometric interpretation of the Levinson algorithm. The developed algorithm

is simple to implement computationally, and can be extended to the multidimensional case.

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