• DocumentCode
    840608
  • Title

    Efficient computation of the covariance sequence of an autoregressive process

  • Author

    Friedlander, Benjamin

  • Author_Institution
    Systems Control Technology, Inc., Palo Alto, CA, USA
  • Volume
    28
  • Issue
    1
  • fYear
    1983
  • fDate
    1/1/1983 12:00:00 AM
  • Firstpage
    97
  • Lastpage
    99
  • Abstract
    An efficient algorithm is presented for computing the covariance sequence of a multichannel autoregressive process represented by a set of reflection coefficients. The covariance sequence is shown to be the impulse response of a certain lattice filter related to the optimal predictor.
  • Keywords
    Autoregressive processes; Covariance functions; Autoregressive processes; Equations; Filters; Lattices; Parameter estimation; Polynomials; Reflection; Signal processing algorithms; Spectral analysis; Time series analysis;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1983.1103121
  • Filename
    1103121
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=840608