DocumentCode
840867
Title
Autoregressive model fitting and levinson algorithm in the multichannel degenerate case
Author
Inouye, Y.
Author_Institution
Osaka University, Osaka, Japan
Volume
28
Issue
1
fYear
1983
fDate
1/1/1983 12:00:00 AM
Firstpage
94
Lastpage
95
Abstract
This note extends the autocorrelation method for fitting multichannel time series from the nondegenerate case to the general case. It shows that the AR model obtained by solving the normal equations is always stable even in the degenerate case. The multichannel Levinson algorithm for solving the normal equations is extended from the nondegenerate case to the general case.
Keywords
Autoregressive processes; Correlation methods; Autocorrelation; Covariance matrix; Eigenvalues and eigenfunctions; Equations; Lyapunov method; Random processes; Symmetric matrices;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1983.1103145
Filename
1103145
Link To Document