Efficient solution of covariance equations for linear prediction

DOI10.1109/TASSP.1977.1162989zbMATH Open0373.93043OpenAlexW2062451636MaRDI QIDQ4152444FDOQ4152444

Authors: Bradley W. Dickinson, A. Vieira, Martin Morf, T. Kailath 

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)

Cited In (9)

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

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