Levinson-Durbin recursion for Toeplitz systems

MaRDI QIDQ6825612FDO

Recursive scheme that solves Toeplitz systems in O(n^2) time (and variants in O(n log n) with FFT accelerations), widely used in signal processing and time-series. Careful attention to stability is needed; alternatives include Bareiss or Cholesky-based ap

Described by source

• An Algorithm for the Inversion of Finite Toeplitz Matrices
• The Fitting of Time-Series Models
• The Wiener RMS (Root Mean Square) Error Criterion in Filter Design and Prediction

This page was built for algorithm: Levinson-Durbin recursion for Toeplitz systems