Efficient solution of covariance equations for linear prediction

DOI10.1109/TASSP.1977.1162989zbMath0373.93043OpenAlexW2062451636MaRDI QIDQ4152444

A. Vieira, Bradley W. Dickinson, Thomas Kailath, Martin Morf

Publication date: 1977

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tassp.1977.1162989

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Related Items (9)

Displacement ranks of matrices and linear equations ⋮ A comparative analysis of various least-squares identification algorithms ⋮ Minimax-robust prediction of discrete time series ⋮ Two recursive estimates of autoregressive models based on maximum likelihood ⋮ Fast Toeplitz orthogonalization ⋮ Approximation of multivariable linear systems with impulse response and autocorrelation sequences ⋮ A recursive in order algorithm for least squares estimates of an autoregressive process ⋮ A unified derivation for fast estimation algorithms by the conjugate direction method ⋮ Recursive solution of the covariance equations for linear prediction

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