Efficient solution of covariance equations for linear prediction

DOI10.1109/TASSP.1977.1162989MaRDI QIDQ4152444zbMATH OpenOpenAlexFDO

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

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