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Recursive eigendecomposition via autoregressive analysis and ago-antagonistic regularization

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1 Author(s)
Barbaresco, F. ; Radar Dev./Algorithms & New Concepts Dept., Thomson-CSF, Bagneux, France

A new recursive eigendecomposition algorithm of complex Hermitian Toeplitz matrices is studied. Based on Trench's inversion of Toeplitz matrices from their autoregressive analysis, we have developed a fast recursive iterative algorithm that takes into account the rank-one modification of successive order Toeplitz matrices. To speed up the computational time and to increase numerical stability of ill-conditioned eigendecomposition in case of very short data records analysis, we have extended this method by introducing an ago-antagonistic regularized reflection coefficient via Levinson equation. We provide a geometrical interpretation of this new recursive eigendecomposition

Published in:

Acoustics, Speech, and Signal Processing, 1997. ICASSP-97., 1997 IEEE International Conference on  (Volume:5 )

Date of Conference:

21-24 Apr 1997