A generalized Levinson algorithm for covariance extension with application to multiscale autoregressive modeling

IEEE Transactions on Information Theory

Volumn 49, Issue 2, 2003, Pages 411-424

  Frakt, Austin B ^a   Lev Ari, Hanoch ^b   Willsky, Alan S ^c  

^a ABT ASSOCIATES   (United States)

^b NORTHEASTERN UNIVERSITY   (United States)

^c MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Chordal graphs; Covariance completion; Covariance extension; Levinson's algorithm; Maximum entropy; Multiscale autoregressive (MAR) models; Reflection coefficients

Indexed keywords

COMPUTATIONAL COMPLEXITY; GRAPH THEORY; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

CHORDAL GRAPHS;

INFORMATION THEORY;

EID: 0037321011     PISSN: 00189448     EISSN: None     Source Type: Journal    
DOI: 10.1109/TIT.2002.807315     Document Type: Article

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