Title :
Efficient solution of covariance equations for linear prediction
Author :
Morf, Martin ; Dickinson, Bradley ; Kailath, Thomas ; Vieira, Augusto
Author_Institution :
Stanford University, Stanford, CA, USA
fDate :
10/1/1977 12:00:00 AM
Abstract :
An algorithm for the solution of the linear equations for the "covariance method" of linear prediction is stated and proved. The algorithm requires only O(p2) arithmetic operations, and in form resembles the Levinson algorithm for solution of the linear equations for the "correlation method" of linear prediction. The structural properties of the problem and its solution are emphasized in the analysis presented.
Keywords :
Arithmetic; Books; Correlation; Covariance matrix; Equations; Information systems; Least squares methods; Linear predictive coding; Prediction algorithms; Signal processing algorithms;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
DOI :
10.1109/TASSP.1977.1162989
