A unified derivation for fast estimation algorithms by the conjugate direction method

DOI10.1016/0024-3795(85)90148-XzbMath0581.65053MaRDI QIDQ1067758

Arye Nehorai, Martin Morf

Publication date: 1985

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

RobinsonCholeskyLevinsonconjugate direction methodDurbinfast recursive least squaresWhittleWiggins

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical optimization and variational techniques (65K10) Signal detection and filtering (aspects of stochastic processes) (60G35) Identification in stochastic control theory (93E12) Iterative numerical methods for linear systems (65F10)

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On some properties of positive definite Toeplitz matrices and their possible applications, Recursive solution of the covariance equations for linear prediction

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