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An extension of the split Levinson algorithm and its relatives to the joint process estimation problem

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2 Author(s)
Delsarte, P. ; Philips Res. Lab., Brussels, Belgium ; Genin, Y.

It is shown that the split Levinson algorithm, the split Schur algorithm, and the split lattice algorithm to compute the reflection coefficients of the optimal linear prediction filter for a discrete-time stationary stochastic process can be extended to the more general case of the joint process estimation problem. The new algorithms are essentially based on well-defined recurrence relations for symmetric prediction filters and symmetric estimation filters. They are more economical than the standard methods in terms of storage space and number of arithmetic operations

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Information Theory, IEEE Transactions on  (Volume:35 ,  Issue: 2 )