On the fast computation of cross-covariance and auto-covariance sequences

Author

Demeure, Cédric J. ; Mullis, Clifford T.

Author_Institution

Dept. of Electr. & Comput. Eng., Colorado Univ., Boulder, CO, USA

fYear

1988

fDate

11-14 Apr 1988

Firstpage

1918

Abstract

A simple linear procedure is given to compute the cross-variance sequence associated with the outputs of two rational digital filters that are driven by the same white noise sequence. Such a computation appears in the study of digital filters, Wiener filters, noise-variance estimation, low order approximations, and in the study of multichannel systems. Fast algorithms based on Euclid´s algorithm are introduced to solve the linear systems of equations involved. The special case of the autocovariance computation is reviewed. Alternate polynomial representations are shown to share the same properties as the matrix equations

Keywords

filtering and prediction theory; integral equations; Euclid´s algorithm; Wiener filters; auto-covariance sequences; cross-covariance sequence; digital filters; fast algorithms; integral integration; linear equations; low order approximations; matrix equations; multichannel systems; noise-variance estimation; polynomials; white noise sequence; Contracts; Covariance matrix; Digital filters; Discrete time systems; Integral equations; Linear systems; Polynomials; Transfer functions; White noise; Wiener filter;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech, and Signal Processing, 1988. ICASSP-88., 1988 International Conference on

Conference_Location

New York, NY

ISSN

1520-6149

Type

conf

DOI

10.1109/ICASSP.1988.197002

Filename

197002