Recursive solution of the covariance equations for linear prediction

DOI10.1016/0016-0032(85)90042-0MaRDI QIDQ1075042zbMATH OpenOpenAlexFDO

Authors M. Boudaoud, L. F. Chaparro

Publication date 1985

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0016-0032(85)90042-0

zbMATH Keywords

recursive algorithmLevinson algorithmconjugate direction optimization procedurecovariance equationslinear prediction modeling procedure

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and prediction (62M20)

Recommendations

• Recursive Least Squares Algorithm for Linear Prediction Problems
• scientific article; zbMATH DE number 4185521
• scientific article; zbMATH DE number 4054912
• Linear prediction theory. A mathematical basis for adaptive systems
• An inverse factorization algorithm for linear prediction

Cites work

• A relationship between the Levinson algorithm and the conjugate direction method
• A unified derivation for fast estimation algorithms by the conjugate direction method
• An approach to nonlinear programming
• Efficient solution of covariance equations for linear prediction
• Linear Prediction of Speech
• Methods of conjugate gradients for solving linear systems
• On the Behavior of Minimax FIR Digital Hilbert Transformers
• Rational approximation of 2-D linear discrete systems

Cited in

(13)

• On the recursive solution of the normal equations of bilateral multivariate autoregressive models
• Composite modeling of nonstationary signals
• Generalized Levinson--Durbin and Burg algorithms.
• Estimation of 2-D ARMA model parameters by using equivalent AR approach
• Recursive Least Squares Algorithm for Linear Prediction Problems
• A derivation of the complex fast Kalman algorithm
• scientific article; zbMATH DE number 4054912 (Why is no real title available?)
• Recursive relations for multistep prediction of a stationary time series
• scientific article; zbMATH DE number 3902534 (Why is no real title available?)
• scientific article; zbMATH DE number 4185521 (Why is no real title available?)
• A unified family of recursive algorithms using feedback
• An inverse factorization algorithm for linear prediction
• Levinson-Durbin algorithm as a Szegö polynomial recursion

This page was built for publication: Recursive solution of the covariance equations for linear prediction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1075042)