IEEE - Institute of Electrical and Electronics Engineers, Inc. - On the relation between triangular matrix decomposition and linear prediction

Author(s): C.W. Therrien
Sponsor(s): IEEE Publication
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 December 1983
Volume: 71
Page(s): 1,459 - 1,460
ISSN (Paper): 0018-9219
ISSN (Online): 1558-2256
DOI: 10.1109/PROC.1983.12800
Regular:

It is shown that the coefficients of linear prediction for a random process and the prediction error variances are related to the covariance matrix through triangular decomposition. In particular,... View More

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