Square root covariance ladder algorithms

DOI10.1109/TAC.1982.1103018MaRDI QIDQ3955256zbMATH OpenOpenAlexFDO

Authors Boaz Porat, Benjamin Friedlander, Martin Morf

Publication date 1982

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.1982.1103018

zbMATH Keywords

autoregressionladder algorithmsrecursive least-square algorithmsrecursive orthonormalization

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12)

Cited in

(4)

• A unified derivation for fast estimation algorithms by the conjugate direction method
• Adaptive sequential segmentation of piecewise stationary time series
• System identification techniques for adaptive signal processing
• ARMA spectral estimation based on partial autocorrelations

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