Adaptive lattice filters for band-inverse covariance matrix approximations
David I. Lekhovytskiy, V. Ryabykha, V. I. Zarytskiy, Gennadiy A. Zhuga, Dmytro S. Rachkov, A. V. Semenyaka · International Conference on Modern Problems of Radio Engineering, Telecommunications and Computer Science · 2010
Theory of adaptive lattice filters, developed originally for stationary processes with Toeplitz covariance matrices, was well-established by the pioneering contributions of Burg [1], Kailath [2], Friendlander [3]. The lattice filters are intimately related to the well-known Levinson algorithm, that requires 0(N2) operations for N×N Toeplitz covariance matrix inversion, and exploit Burg technique for adaptive estimation of reflection coefficients that naturally preserves positive definiteness of the estimated Toeplitz covariance matrix [3].