Motivation

 Several different modeling signals

 To find the solution to a set of linear

equations R xa p  b
 R x is a Hermitian Toeplitz matrix.
 Use the structure of R x to efficiently
solve for a x
 Prony’s All Pole Equations

 All Pole Equation

p
rx (k )   a p (l )rx (k  l )  0 ; k  1,2,..., p
 Modeling Error
l 1

p
 p  rx (0)   a p (l )rx (l )
l 1
 Prony’s All Pole Equations

 Matrix form
 rx (0) rx (1)  rx ( p)   1 
* *
1
   0 

*
 x
r (1) rx ( 0)  rx ( p 1)  a p (1)    
       p

    
rx ( p) rx ( p  1)  rx (0)   pa ( p )  0 

 Matrix notation

R xa p   pu1
 Approach

 Using induction method

 We would like to solve for
R j 1a j 1   j 1u1
given the solution to
R j a j   j u1
 The induction

 Initial condition a0 (0)  1

 0 (0)  rx (0)
 Assume we know the solution to
R j a j   j u1
 let’s form
 Rj rxH ( j  1)
R j 1  
rx ( j  1) rx (0) 
where
rx ( j  1)  rx ( j  1), rx ( j ),, rx (1)
 The induction (continued)

 Modify normal equations

 Rj rxH ( j  1) a j   j u1 
      
rx ( j  1) rx (0)   0   j 
where j
 j  rx ( j  1)   a j (i)rx ( j  1  i)
i 1

 Flipping and using Hermitian property

 Rj rxH ( j  1)  0   j u1 
  a *     
rx ( j  1) rx (0)   j   j 
 The induction (continued)

 Adding two equations

 1   0     j   *j  
        
  a j (1)   0  0 
a j ( j )    
*


R j 1       j 1            j 1    
   *      
 a j ( j ) 
 a j (1)    0  0 
        * 
 0   1     j   j  

 Reflection Coefficient
 j 
 j 1    * 
  j 
 The induction (continued)

 We arrive at R j 1a j 1   j 1u1

where  1   0 
 a (1)  a * ( j )
 j   j 
a j 1       j 1   
   * 
a (
 j  j )  a j (1) 
 0   1 

 Levinson order-update equation

a j 1 (i)  a j (i)   j 1a *j ( j  i  1)

 The updated error

2
 j 1   j      j (1  j 1 )
*
j 1 j
 Matlab Demos

 Example
Example
Lattice Filter
Properties of the Levinson-
Durbin recursion
 Discussion

 Property 1. The reflection coefficients

that are generated by the Levinson-
Durbin recursion to solve the
autocorrelation normal equations are
bounded by one in magnitude,
j  1
 If an arbitrary sequence of numbers
r (0), r (1),..., r ( p  1) are used in the matrix
x x x
Rp
 Discussion(continued)

 The unit magnitude constraint on the

reflection coefficients  j and the
nonnegativivity of the sequence  j are
tied to the positive definiteness of the
matix R p