levinson: Durbin-Levinson Recursion
In signal: Signal Processing
levinson R Documentation
Durbin-Levinson Recursion
Description
Perform Durbin-Levinson recursion on a vector or matrix.
Usage
levinson(x, p = NULL)
Arguments
x
Input signal.
p
Lag (defaults to length(x) or nrow(x)).
Details
Use the Durbin-Levinson algorithm to solve:
toeplitz(acf(1:p)) * y = -acf(2:p+1).
The solution [1, y'] is the denominator of an all pole filter
approximation to the signal x which generated the autocorrelation
function acf.
acf is the autocorrelation function for lags 0 to p.
Value
a
The denominator filter coefficients.
v
Variance of the white noise = square of the numerator constant.
ref
Reflection coefficients = coefficients of the lattice
implementation of the filter.
Author(s)
Original Octave version by Paul Kienzle
pkienzle@users.sf.net based on yulewalker.m
by Friedrich Leisch Friedrich.Leisch@boku.ac.at.
Conversion to R by Sebastian Krey krey@statistik.tu-dortmund.de.
References
Steven M. Kay and Stanley Lawrence Marple Jr.:
Spectrum analysis – a modern perspective,
Proceedings of the IEEE, Vol 69, pp 1380-1419, Nov., 1981
signal documentation built on June 26, 2024, 9:06 a.m.
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| levinson | R Documentation |
Durbin-Levinson Recursion
Description
Perform Durbin-Levinson recursion on a vector or matrix.
Usage
levinson(x, p = NULL)
Arguments
x |
Input signal. |
p |
Lag (defaults to |
Details
Use the Durbin-Levinson algorithm to solve:
toeplitz(acf(1:p)) * y = -acf(2:p+1).
The solution [1, y'] is the denominator of an all pole filter approximation to the signal x which generated the autocorrelation function acf.
acf is the autocorrelation function for lags 0 to p.
Value
a |
The denominator filter coefficients. |
v |
Variance of the white noise = square of the numerator constant. |
ref |
Reflection coefficients = coefficients of the lattice implementation of the filter. |
Author(s)
Original Octave version by Paul Kienzle pkienzle@users.sf.net based on yulewalker.m by Friedrich Leisch Friedrich.Leisch@boku.ac.at. Conversion to R by Sebastian Krey krey@statistik.tu-dortmund.de.
References
Steven M. Kay and Stanley Lawrence Marple Jr.: Spectrum analysis – a modern perspective, Proceedings of the IEEE, Vol 69, pp 1380-1419, Nov., 1981
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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