FA64 2:15 LADDER-FORM FILTERS FOR NONSTATIONARY PROCESSES*
H. Lev-Ari, T. Kailath · 1980
Ladder-form whitening filters for discrete-time non- correlation matrix of x,y with respect to u is stationary processes are presented. Two fundamental versions. both cascade connections of identical staaes defined as are described. One version has a simple filter staie, but time varying gains which require a separate, parallel, computation; the other has a more complex filter stage, of both schemes is proportional to the index of nonbut time invariant parameters. The overall complexity stationarity of the underlying stochastic process. The resulting recursive relations are applicable to problems of covariance factorization, spectral estimation and parameter identification.