DocumentCode :
1333532
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
Volume :
45
Issue :
3
fYear :
1997
fDate :
3/1/1997 12:00:00 AM
Firstpage :
786
Lastpage :
789
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;
fLanguage :
English
Journal_Title :
Signal Processing, IEEE Transactions on
Publisher :
ieee
ISSN :
1053-587X
Type :
jour
DOI :
10.1109/78.558506
Filename :
558506
Link To Document :
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