The numerical stability of the lattice algorithm for least squares linear prediction problems

DOI10.1007/BF01934903zbMath0555.65099MaRDI QIDQ760790

George Cybenko

Publication date: 1984

Published in: BIT (Search for Journal in Brave)

zbMATH Keywords

numerical stabilityfilteringnormal equationsorthogonalization methodround-offlattice algorithmleast- squares linear prediction problems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Probabilistic methods, stochastic differential equations (65C99)

Related Items

A generalized isometric Arnoldi algorithm, Fast orthogonal decomposition of rank deficient Toeplitz matrices, Systolic implementation of the lattice algorithm for least squares linear prediction problems

Uses Software

• TOEPLITZ

Cites Work

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• Handbook series linear algebra. Linear least squares solutions by Householder transformations
• A General Orthogonalization Technique with Applications to Time Series Analysis and Signal Processing
• The Numerical Stability of the Levinson-Durbin Algorithm for Toeplitz Systems of Equations
• Perturbation Bounds for the $QR$ Factorization of a Matrix
• Solving linear least squares problems by Gram-Schmidt orthogonalization
• An Elimination Method for the Solution of Linear Least Squares Problems