Title :
A derivation of the recursive solution to the autocorrelation normal equations [Lecture Notes]
Author :
Baran, T.A. ; Oppenheim, A.V.
Author_Institution :
Res. Lab. of Electron., Massachusetts Inst. of Technol., Cambridge, MA, USA
Abstract :
ACNE plays an important role in many aspects of signal processing and time series analysis. The recursive solution to these equations presented in this article is developed independently of any specific application context and utilizes the basic principles of LTI systems, resulting in the lattice filter structure as a by-product.
Keywords :
lattice filters; signal processing; time series; ACNE; LTI systems; autocorrelation normal equations; lattice filter structure; recursive solution; signal processing; time series analysis; Correlation; Equations; Extrapolation; Interpolation; Smoothing methods; Symmetric matrices; Time series analysis;
Journal_Title :
Signal Processing Magazine, IEEE
DOI :
10.1109/MSP.2012.2219679
