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.TH lev 1 "April 1993" "Scilab Group" "Scilab Function"
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lev - Yule-Walker equations (Levinson's algorithm)
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: correlation coefficients
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: auto-Regressive model parameters
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: reflection coefficients
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resolve the Yule-Walker equations
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|R(0) R(1) ... R(N-1)|| ar(1) | |sigma2|
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|R(1) R(0) ... R(N-2)|| ar(2) | | 0 |
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| : : ... : || : |=| 0 |
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| : : ... : || : | | 0 |
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|R(N-1) R(N-2) ... R(0) ||ar(N-1)| | 0 |
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.LA $$ \left( \matrix{ R_0 & R_1 & \ldots & R_{N-1} \cr
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.LA R_1 & R_0 & \ldots & R_{N-2} \cr
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.LA \vdots & \vdots & \ldots & \vdots \cr
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.LA R_{N-1} & R_{N-2} & \ldots & R_{0} \cr
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.LA } \right) \vector{ ar_1 \cr ar_2 \cr \vdots \cr
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.LA = \vector{ \sigma_2 \cr 0 \cr \vdots \cr 0} $$
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.LA where $R_i=r(i-1)$.
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using Levinson's algorithm.