LEVCORR Procedure

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

JURYRC, LEVDURB, TOEPSOL

For Additional Information

Proakis and Manolakis, 1992. Roberts and Mullis, 1987, p. 527.