A fast algorithm for optimum linear predictors
- 1 October 1973
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 18 (5), 555
- https://doi.org/10.1109/tac.1973.1100405
Abstract
An algorithm is given for calculation of the time-varying-coefficients of the linear least squares predictors for stationary processes. The algorithm requires an order of magnitude fewer arithmetic operations than the best of the earlier known algorithms.Keywords
This publication has 2 references indexed in Scilit:
- Algorithms for Triangular Decomposition of Block Hankel and Toeplitz Matrices with Application to Factoring Positive Matrix PolynomialsMathematics of Computation, 1973
- Properties of infinite covariance matrices and stability of optimum predictorsInformation Sciences, 1969