Matrix.Levinson

This module contains an implementation of Levinson-Durbin recursion.

Documentation

levinson

Arguments

:: (Ix a, Integral a, RealFloat b)

=> Array a (Complex b)

r

-> a

p

-> (Array a (Complex b), b)

(a,rho)

levinson takes an array, r, of autocorrelation values, and a model order, p, and returns an array, a, of the model estimate and rho, the noise power.