A LEVINSON-TYPE ALGORITHM FOR DISCRETE STATIONARY RANDOM-FIELDS

Authors
MAKAGON A MENSAH CA MIAMEE AG
Citation
A. Makagon et al., A LEVINSON-TYPE ALGORITHM FOR DISCRETE STATIONARY RANDOM-FIELDS, SIAM journal on mathematical analysis, 28(4), 1997, pp. 897-902
Citations number
7
Categorie Soggetti
Mathematics,Mathematics
Journal title
SIAM journal on mathematical analysis → ACNP
ISSN journal
00361410
Volume
28
Issue
4
Year of publication
1997
Pages
897 - 902
Database
ISI
SICI code
0036-1410(1997)28:4<897:ALAFDS>2.0.ZU;2-O
Abstract
A Levinson-type recursive procedure for updating the predictor of a di screte stationary random field is developed. This considerably reduces the number of equations that one must solve in order to recursively u pdate the predictor as more data and information about the process bec omes available and thus saves some resources and time. The procedure e xtends the well-known Levinson recursive algorithm to the case of rand om fields.