Levinson-Durbin algorithm as a Szegö polynomial recursion (Q1855621)
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scientific article; zbMATH DE number 1865439
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Levinson-Durbin algorithm as a Szegö polynomial recursion |
scientific article; zbMATH DE number 1865439 |
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Levinson-Durbin algorithm as a Szegö polynomial recursion (English)
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6 February 2003
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It is shown that popular Levinson-Durbin algorithm for solving the Yule-Walker equations can be considered as a recursive algorithm presented in the early 1920's by Szegő [see also \textit{U. Grenander} and \textit{G. Szegő}, Toeplitz forms and their applications. (1958; Zbl 0080.09501)].
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AR model
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Yule-Walker equations
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Levinson-Durbin algorithm
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orthonormal polynomials
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Szegö recursive algorithm
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