TY - JOUR
T1 - A unified derivation for fast estimation algorithms by the conjugate direction method
AU - Nehorai, Arye
AU - Morf, Martin
N1 - Funding Information:
*This work was supported by the Defense Advanced Research Projects Agency under Contracts MDA 90382-K-0382 and the National Science Foundation under Grant ECS8200065. **Present address: Department of Electrical Engineering, Yale University, New Haven, CT 06520. ’ Present address: ETH Institute for Informatik, Zurich, Switzerland.
PY - 1985/12
Y1 - 1985/12
N2 - Fast estimation algorithms inspired by the classical method of Levinson have been developed in the areas of time series analysis, system identification, and signal processing. This paper provides a unified derivation for the Levinson-Durbin-Whittle-Wiggins-Robinson, fast recursive least squares (RLS), ladder (or lattice), and fast Cholesky algorithms as special cases of the conjugate direction method (CDM). This gives a novel derivation and interpretation for all these methods.
AB - Fast estimation algorithms inspired by the classical method of Levinson have been developed in the areas of time series analysis, system identification, and signal processing. This paper provides a unified derivation for the Levinson-Durbin-Whittle-Wiggins-Robinson, fast recursive least squares (RLS), ladder (or lattice), and fast Cholesky algorithms as special cases of the conjugate direction method (CDM). This gives a novel derivation and interpretation for all these methods.
UR - http://www.scopus.com/inward/record.url?scp=46549093953&partnerID=8YFLogxK
U2 - 10.1016/0024-3795(85)90148-X
DO - 10.1016/0024-3795(85)90148-X
M3 - Article
AN - SCOPUS:46549093953
SN - 0024-3795
VL - 72
SP - 119
EP - 143
JO - Linear Algebra and Its Applications
JF - Linear Algebra and Its Applications
IS - C
ER -