Signal Processing/Lattice Predictors

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Levinson-Durbin Algorithm[edit]

The Levinson-Durbin Algorithm is a direct method to solve the augmented Wiener-Hopf equations for the lattice predictor-error coefficients and the predictor-error power. The Levinson-Durbin algorithm uses the filter coefficients of an order m filter to compute the coefficients of an order m + 1 order filter.

There are two parts to the Levinson-Durbin Algorithm. The first part is a method to compute the tap-weight vector am using the tap-weight vector of a lower-order filter, am-1:

\bold{a}_m = \begin{bmatrix}\bold{a}_{m-1} \\ 0 \end{bmatrix} + \kappa_m \begin{bmatrix}0 \\ \bold{a}^{B*}_{m-1}\end{bmatrix}

In scalar form, this equation becomes:

a_{m,k} = a_{m-1,k-1} + \kappa_m a_{m-1,m-k}

Lattice Predictors[edit]