The Numerical Stability of the Levinson-Durbin Algorithm for Toeplitz Systems of Equations

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

zbMATH Keywords

prediction; error analysis; Toeplitz matrix; time series analysis; signal processing; signal detection; Yule-Walker equations; Cholesky algorithm; Levinson-Durbin algorithm

Mathematics Subject Classification ID

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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Uses Software

TOEPLITZ