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A recursive algorithm for solving the normal equations of bilateral AR models

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1 Author(s)
ByoungSeon Choi ; Dept. of Appl. Stat., Yonsei Univ., Seoul, South Korea

A recursive algorithm is proposed to solve the normal equations for bilateral AR models. Since the algorithm is a slight extension of the Levinson-Durbin algorithm to solve the Yule-Walker equations, it is computationally efficient and can be easily incorporated into a computer program. In addition, it can be utilized to determine the order of a symmetric bilateral AR model

Published in:

IEEE Transactions on Signal Processing  (Volume:45 ,  Issue: 3 )