Title :
Efficient computation of the covariance sequence of an autoregressive process
Author :
Friedlander, Benjamin
Author_Institution :
Systems Control Technology, Inc., Palo Alto, CA, USA
fDate :
1/1/1983 12:00:00 AM
Abstract :
An efficient algorithm is presented for computing the covariance sequence of a multichannel autoregressive process represented by a set of reflection coefficients. The covariance sequence is shown to be the impulse response of a certain lattice filter related to the optimal predictor.
Keywords :
Autoregressive processes; Covariance functions; Autoregressive processes; Equations; Filters; Lattices; Parameter estimation; Polynomials; Reflection; Signal processing algorithms; Spectral analysis; Time series analysis;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1983.1103121
