DocumentCode
813061
Title
A fast algorithm for optimum linear predictors
Author
Rissanen, J.
Volume
18
Issue
5
fYear
1973
fDate
10/1/1973 12:00:00 AM
Firstpage
555
Lastpage
555
Abstract
An algorithm is given for calculation of the time-varying-coefficients of the linear least squares predictors for stationary processes. The algorithm requires an order of magnitude fewer arithmetic operations than the best of the earlier known algorithms.
Keywords
Least-squares estimation; Prediction methods; Arithmetic; Covariance matrix; Equations; Kalman filters; Least squares methods; Matrix converters; Matrix decomposition; Maximum likelihood detection; State-space methods; Vectors;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1973.1100405
Filename
1100405
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