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The numerical stability of the Levinson-Durbin algorithm for Toeplitz systems of equations. (English) Zbl 0474.65026


MSC:

65F30 Other matrix algorithms (MSC2010)
65C99 Probabilistic methods, stochastic differential equations
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
93E11 Filtering in stochastic control theory
33C45 Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.)

Citations:

Zbl 0101.356

Software:

TOEPLITZ
PDFBibTeX XMLCite
Full Text: DOI