Title :
A relationship between the Levinson algorithm and the conjugate direction method
Author :
Nehorai, Arye ; Morf, Martin
Author_Institution :
Stanford University, Stanford, CA
fDate :
4/1/1983 12:00:00 AM
Abstract :
This note provides a connection between the (block) Levinson algorithm and the conjugate direction method (CDM). We first present an extension of the scalar CDM to the block matrix case. Then we show how the (block) Levinson recursions can be derived as a special case of the (extended) CDM. This gives a new derivation and interpretation for Levinson´s algorithm.
Keywords :
Algorithm design and analysis; Covariance matrix; Forward contracts; Geophysics; Minimization methods; Optimization methods; Signal design; Signal processing algorithms; Speech analysis; Statistical analysis;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
DOI :
10.1109/TASSP.1983.1164073
