The Numerical Stability of the Levinson-Durbin Algorithm for Toeplitz Systems of Equations
Publication:3928920
DOI10.1137/0901021zbMath0474.65026MaRDI QIDQ3928920
Publication date: 1980
Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0901021
prediction; error analysis; Toeplitz matrix; time series analysis; signal processing; signal detection; Yule-Walker equations; Cholesky algorithm; Levinson-Durbin algorithm
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
93E11: Filtering in stochastic control theory
33C45: Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.)
65C99: Probabilistic methods, stochastic differential equations
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