The Lanczos method and signal extrapolation

A technique for signal extrapolation based on the Lanczos method for tridiagonalizing a matrix is discussed. This technique is compared with two previously studied methods, one based on singular value decomposition (SVD) and the other using the conjugate gradient method. The quality of the extrapolation obtained using the Lanczos method is seen to approach the quality of the SVD method, while the computational complexity is of the same order as the conjugate gradient method.