Further Results on the Circular Levinson Algorithm

Hideaki SAKAI  

IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E74-A   No.12   pp.3962-3967
Publication Date: 1991/12/25
Online ISSN: 
Print ISSN: 0916-8508
Type of Manuscript: PAPER
Category: Digital Signal Processing

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This paper presents further results on the circular Levinson algorithm for multichannel linear prediction consisting only of scalar operations. The first result is an explicit inversion formula of the covariance matrix. This is a generalization of Trench and Gohberg-Semencul formula. An application to time series modeling is also mentioned. The second one is a simple modification in the algorithm to treat the case where the covariance matrix becomes singular. An example is given how the modified algorithm works.