Title :
Approximate AR modeling: a Schur approach
Author :
Pal, Debajyoti ; Kailath, Thomas
Author_Institution :
AT&T Bell Labs., Middletown, NJ, USA
Abstract :
Based on a new Schur type algorithm for factorization and inversion of Toeplitz and quasi-Toeplitz matrices with arbitrary rank profile, a new approach towards approximate autoregressive modeling has been developed. This technique provides an alternative to the well known regularization scheme for covariance matrices with one or more nearly zero minors.<>
Keywords :
matrix algebra; spectral analysis; statistical analysis; Schur type algorithm; Toeplitz matrices; approximate AR modeling; approximate autoregressive modeling; factorization; inversion; quasi-Toeplitz matrices; spectral analysis; Approximation algorithms; Contracts; Ear; Equations; Polynomials;
Conference_Titel :
Spectrum Estimation and Modeling, 1990., Fifth ASSP Workshop on
Conference_Location :
Rochester, NY, USA
DOI :
10.1109/SPECT.1990.205590
