Title :
Efficient computation of the covariance sequence of an autoregressive process
Author :
Friedlander, Benjamin
Author_Institution :
Systems Control Technology, Inc., Palo Alto, California
Abstract :
An efficient algorithm is presented for computing the covariance sequence of a multichannel autogregressive 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; Control systems; Equations; Lattices; Milling machines; Nonlinear filters; Reflection; Signal processing algorithms; Spectral analysis; White noise;
Conference_Titel :
Acoustics, Speech, and Signal Processing, IEEE International Conference on ICASSP '83.
DOI :
10.1109/ICASSP.1983.1172190
