General Forms of Ladder-Lattice Filtering for Vector AR Model and Its Realizations with Different Data Window
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Abstract:
The general forms of the Ladder-Lattice filtering for vector AR model are derived from some basic matrix algebra operators. Then,the realizations of the algorithms for different data windows (prewindow,covariance window and sliding window) are obtained easily.
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Mao Ning. General Forms of Ladder-Lattice Filtering for Vector AR Model and Its Realizations with Different Data Window[J]. Journal of National University of Defense Technology,1989,11(1):50-58.