Accession Number:

ADA149431

Title:

Internal Variables in the Lattice for Cholesky Factorization. Kalman Filtering, and Model Identification.

Descriptive Note:

Technical rept. Jan-Dec 84,

Corporate Author:

RHODE ISLAND UNIV KINGSTON DEPT OF ELECTRICAL ENGINEERING

Personal Author(s):

Report Date:

1984-12-01

Pagination or Media Count:

56.0

Abstract:

The Levinson recursions provide an efficient algorithm for factoring the inverse of a Toeplitz correlation matrix R into its upper and lower triangular Cholesky factors. These factors produce a Gram-Schmidt orthogonalization of the underlying time series. The recursions are routinely used to compute reflection coefficients for implementing whitening and predicting filters in lattice form. These are also used to go back and forth between reflection coefficients, order-increasing whiteners, and correlations. One of this documents main purposes is to show how the Levinson recursion for going back and forth between correlations, reflection coefficients, and order-increasing whiteners may be replaced with a dual set of recursions for going back and forth between correlations, reflection coefficients, and order increasing synthesizers.

Subject Categories:

  • Theoretical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE