Generalized Levinson–Durbin and Burg algorithms

A basic recursive property of orthogonal projections is presented which leads easily to a variety of different prediction algorithms. Examples are the classical Levinson–Durbin and Burg algorithms and a subset Whittle algorithm of Penm and Terrell. In addition, some new algorithms are derived including easily applied algorithms for the recursive calculation of best h-step predictors and a Burg algorithm for the best subset predictor. The relation to lattice algorithms is discussed.