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levinson

Levinson-Durbin recursion

Syntax

a = levinson(r)
a = levinson(r,n)
[a,e] = levinson(r,n)
[a,e,k] = levinson(r,n)

Description

The Levinson-Durbin recursion is an algorithm for finding an all-pole IIR filter with a prescribed deterministic autocorrelation sequence. It has applications in filter design, coding, and spectral estimation. The filter that levinson produces is minimum phase.

a = levinson(r) finds the coefficients of a length(r)-1 order autoregressive linear process which has r as its autocorrelation sequence. r is a real or complex deterministic autocorrelation sequence. If r is a matrix, levinson finds the coefficients for each column of r and returns them in the rows of a. n=length(r)-1 is the default order of the denominator polynomial A(z); that is, a = [1 a(2) ... a(n+1)]. The filter coefficients are ordered in descending powers of z–1.

H(z)=1A(z)=11+a(2)z1++a(n+1)zn

a = levinson(r,n) returns the coefficients for an autoregressive model of order n.

[a,e] = levinson(r,n) returns the prediction error, e, of order n.

[a,e,k] = levinson(r,n) returns the reflection coefficients k as a column vector of length n.

Note

k is computed internally while computing the a coefficients, so returning k simultaneously is more efficient than converting a to k with tf2latc.

Examples

collapse all

Estimate the coefficients of an autoregressive process given by

a = [1 0.1 -0.8];

Generate a realization of the process by filtering white noise of variance 0.4.

rng('default')
v = 0.4;
w = sqrt(v)*randn(15000,1);
x = filter(1,a,w);

Estimate the correlation function. Discard the correlation values at negative lags. Use the Levinson-Durbin recursion to estimate the model coefficients.

[r,lg] = xcorr(x,'biased');
r(lg<0) = [];

ar = levinson(r,numel(a)-1)
ar = 

    1.0000    0.0957   -0.8026

Algorithms

levinson solves the symmetric Toeplitz system of linear equations

[r(1)r(2)*r(n)*r(2)r(1)r(n1)*r(n)r(2)r(1)] [a(2)a(3)a(n+1)]=[r(2)r(3)r(n+1)]

where r = [r(1) ... r(n + 1)] is the input autocorrelation vector, and r(i)* denotes the complex conjugate of r(i). The input r is typically a vector of autocorrelation coefficients where lag 0 is the first element, r(1).

Note

If r is not a valid autocorrelation sequence, the levinson function might return NaNs even if the solution exists.

The algorithm requires O(n2) flops and is thus much more efficient than the MATLAB® backslash command for large n. However, the levinson function uses \ for low orders to provide the fastest possible execution.

References

[1] Ljung, Lennart. System Identification: Theory for the User. 2nd Ed. Upper Saddle River, NJ: Prentice Hall, 1999.

Extended Capabilities

See Also

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Introduced before R2006a

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