Title :
A recursive algorithm for solving the normal equations of bilateral AR models
Author :
Choi, ByoungSeon
Author_Institution :
Dept. of Appl. Stat., Yonsei Univ., Seoul, South Korea
fDate :
3/1/1997 12:00:00 AM
Abstract :
A recursive algorithm is proposed to solve the normal equations for bilateral AR models. Since the algorithm is a slight extension of the Levinson-Durbin algorithm to solve the Yule-Walker equations, it is computationally efficient and can be easily incorporated into a computer program. In addition, it can be utilized to determine the order of a symmetric bilateral AR model
Keywords :
Toeplitz matrices; autoregressive processes; correlation methods; covariance analysis; recursive estimation; Levinson-Durbin algorithm; Yule-Walker equations; autocorrelation function; autocovariance function; bilateral AR models; computationally efficient; normal equations; recursive algorithm; symmetric bilateral AR model; Autocorrelation; Equations; Least squares methods; Parameter estimation; Polynomials; Statistics; Stochastic processes;
Journal_Title :
Signal Processing, IEEE Transactions on
