Pure time updates for least squares lattice algorithms

This note presents some new time update formulas for certain types of lattice algorithms used in autoregressive modeling of stationary time series. The new formulas enable the computation of the autoregressive coefficients in a number of operations per time step proportional to the model order.

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Bibliographic Details
Published in:IEEE transactions on automatic control Vol. 28; no. 8; pp. 865 - 866
Main Author: Porat, B.
Format: Journal Article
Language:English
Published: New York, NY IEEE 01.08.1983
Institute of Electrical and Electronics Engineers
Subjects:
Applied sciences
Computational complexity
Computer science; control theory; systems
Control theory. Systems
Covariance matrix
Equations
Exact sciences and technology
Information filtering
Information filters
Lattices
Least squares methods
Matrices
Modelling and identification
Polynomials
Reflection
Autoregressive model
Algorithm
Modeling
Time series
ISSN:0018-9286
Online Access:Get full text
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Description
Summary:This note presents some new time update formulas for certain types of lattice algorithms used in autoregressive modeling of stationary time series. The new formulas enable the computation of the autoregressive coefficients in a number of operations per time step proportional to the model order.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
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content type line 23
ISSN:0018-9286
DOI:10.1109/TAC.1983.1103328