DocumentCode
1274566
Title
A derivation of the Gohberg-Semencul relation [signal analysis]
Author
Cernuschi-Frias, Bruno
Author_Institution
Fac. de Ingenieria, Buenos Aires Univ., Argentina
Volume
39
Issue
1
fYear
1991
fDate
1/1/1991 12:00:00 AM
Firstpage
190
Lastpage
192
Abstract
A simple proof of the Gohberg-Semencul decomposition of the inverse of the correlation matrix of an autoregressive (AR) process is given. The proof is based on the Cholesky decomposition and the centrosymmetric property of symmetric Toeplitz matrices. The Gohberg-Semencul relation is derived in a simple way by doubling the size, but not the order, of the AR process
Keywords
correlation theory; matrix algebra; signal processing; Cholesky decomposition; Gohberg-Semencul relation; autoregressive process; centrosymmetric property; correlation matrix; signal analysis; symmetric Toeplitz matrices; Delay effects; Equations; Fourier series; Frequency; Matrix decomposition; Sampling methods; Signal analysis; Symmetric matrices; Time measurement; Writing;
fLanguage
English
Journal_Title
Signal Processing, IEEE Transactions on
Publisher
ieee
ISSN
1053-587X
Type
jour
DOI
10.1109/78.80778
Filename
80778
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