Levinson-Durbin algorithm as a Szegö polynomial recursion

Seongbaek Yi and ByoungSeon Choi
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Seongbaek Yi: Pukyong National University
ByoungSeon Choi: Yonsei University

Computational Statistics, 2002, vol. 17, issue 1, No 5, 59-64

Abstract: Summary In this paper it is shown that the famous Levinson-Durbin algorithm is just a recursive algorithm presented previously by Szegö.

Keywords: Levinson-Durbin algorithm; Szegö orthonormal polynomials; Yule-Walker equations; AR model (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/s001800200090

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