Levinson-Durbin algorithm as a Szegö polynomial recursion (Q1855621)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Levinson-Durbin algorithm as a Szegö polynomial recursion |
scientific article |
Statements
Levinson-Durbin algorithm as a Szegö polynomial recursion (English)
0 references
6 February 2003
0 references
It is shown that popular Levinson-Durbin algorithm for solving the Yule-Walker equations can be considered as a recursive algorithm presented in the early 1920's by Szegő [see also \textit{U. Grenander} and \textit{G. Szegő}, Toeplitz forms and their applications. (1958; Zbl 0080.09501)].
0 references
AR model
0 references
Yule-Walker equations
0 references
Levinson-Durbin algorithm
0 references
orthonormal polynomials
0 references
Szegö recursive algorithm
0 references
0 references
