LEVCORR Procedure (PV-WAVE Extreme Advantage)
Computes the first row (autocorrelation sequence) of a Toeplitz matrix from its Cholesky-factored form.
Usage
LEVCORR, r, alpha, t
Input Parameters
alpha—An array consisting of the elements of the diagonal matrix factor.
t—The upper triangular matrix factor.
Output Parameters
r—An array consisting of the first row of a Toeplitz matrix (the autocorrelation sequence).
Keywords
None.
Discussion
Given the Cholesky-factored form of a Toeplitz matrix consisting of the upper triangular matrix T and the diagonal matrix D, LEVCORR computes the first row of the Toeplitz matrix R defined by:
T–1DT–T = R
where D = diag {a(n), a(n – 1), ..., a(0)}.
LEVCORR is one of a suite of functions (including JURYRC, LEVCORR, LEVDURB, and TOEPSOL) used to solve Toeplitz linear equations and factorization problems. For examples of the use of LEVCORR, see JURYRC and LEVDURB.
See Also
For Additional Information
Proakis and Manolakis, 1992. Roberts and Mullis, 1987, p. 527.
Version 2017.0
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