Abstract:
Relations between the covariance matrices that are being calculated during the procedure of multichannel
Levinson recursion are investigated. The dependencies revealed lead to halving operations of matrix inverting
comparing to the standard version of the algorithm.
Keywords:system identification, multivariate time series, bock-toeplitz matrix, fast algorithm, Multichannel Levinson
recursion.
Fulltext:
PDF file (367 kB)