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  4. Lattice filter interpretations of the Chandrasekhar recursions for estimation and spectral factorization
 
conference paper

Lattice filter interpretations of the Chandrasekhar recursions for estimation and spectral factorization

Sayed, A.H.
•
Lev-Ari, H.
•
Kailath, T.
1992
IEEE International Conference on Acoustics, Speech, and Signal Processing
IEEE International Conference on Acoustics, Speech, and Signal Processing

The authors use the classical Schur reduction procedure to give a lattice filter implementation of the Chandrasekhar recursions. The derivation is based on the observation that the covariance matrix of a process with a time-invariant state-space model is structured. This allows one to easily derive the connection between the Schur algorithm and spectral factorization and to extend the Chandrasekhar recursions to the case of nonsymmetric Riccati equations. The Chandrasekhar recursions can be implemented in scalar steps using a sequence of well-defined elementary (hyperbolic and Givens) rotations.

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Type
conference paper
DOI
10.1109/ICASSP.1992.226389
Author(s)
Sayed, A.H.
Lev-Ari, H.
Kailath, T.
Date Issued

1992

Publisher

IEEE

Published in
IEEE International Conference on Acoustics, Speech, and Signal Processing
Volume

4

Start page

549

End page

552

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
ASL  
Event nameEvent placeEvent date
IEEE International Conference on Acoustics, Speech, and Signal Processing

San Francisco, CA, USA

March 23-26, 1992

Available on Infoscience
December 19, 2017
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/143326
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