MATLAB中的levinson调用规则,Levinson-Durbin算法

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rlevinson

Syntax

r = rlevinson(a,efinal)

[r,u] = rlevinson(a,efinal)

[r,u,k] = rlevinson(a,efinal)

[r,u,k,e] = rlevinson(a,efinal)

Description

The reverse Levinson-Durbin recursion implements the step-down

algorithm for solving the following symmetric Toeplitz system of

linear equations for r,

where r = [r(1)

L r(p+1)] and r(i)* denotes the complex

conjugate of r(i).

r = rlevinson(a,efinal)

solves the above system of equations for r given vector a, where

a =[1 a(2) L a(p+1)].

In linear prediction applications, r represents the

autocorrelation sequence of the input to the prediction error

filter, where r(1) is the zero-lag element. The figure

below shows the typical filter of this type, where H(z) is the optimal linear predictor,

x(n) is the input signal, is the predicted signal,

and e(n) is the prediction error.

Input vector a represents the polynomial coefficients

of this prediction error filter in descending powers of

z.

The filter must be minimum phase to generate a valid

autocorrelation sequence. efinal is the scalar prediction

error power, which is equal to the variance of the prediction error

signal, σ2(e).

[r,u] = rlevinson(a,efinal)

returns upper triangular matrix U from the UDU* decomposition

where

and E is a diagonal

matrix with elements returned in output e (see below).

This decomposition permits the efficient evaluation of the inverse

of the autocorrelation matrix, R-1.

Output matrix u contains the prediction filter

polynomial, a, from each iteration of the reverse

Levinson-Durbin recursion

where ai(j) is

the jth coefficient of the

ith order prediction filter

polynomial (i.e., step i in the recursion). For example, the

5th order prediction filter polynomial is

a5 = u(5:-1:1,5)'

Note that u(p+1:-1:1,p+1)' is the input polynomial

coefficient vector a.

[r,u,k] = rlevinson(a,efinal)

returns a vector k of length (p+1) containing the reflection

coefficients. The reflection coefficients are the conjugates of the

values in the first row of u.

k = conj(u(1,2:end))

[r,u,k,e] = rlevinson(a,efinal)

returns a vector of length p+1 containing the prediction errors

from each iteration of the reverse Levinson-Durbin recursion:

e(1) is the prediction error from the first-order model,

e(2) is the prediction error from the second-order model,

and so on.

These prediction error values form the diagonal of the matrix

E in the UDU* decomposition of

R-1.

References

[1] Kay, S.M., Modern Spectral

Estimation: Theory and Application, Prentice-Hall,

Englewood Cliffs, NJ, 1988.