eureka - E. A. Robinson’s subroutine to solve normal equations by Levinson recursion
call eureka(lr, r, g, f, a)
Basic Seismic
Utilities (BSU) subroutine originally published by Robinson
(1967) which solves the normal equations by the Levinson
recursion algorithm. The one sided autocorrelation is in
"r", the right-hand side coefficients are in
"g", the outputs returned are the filter
coefficients in "f", and the prediction error
operator in "a".
Fortran Version.
Arguments
lr (int)
Number of
samples in r, g, f, and a
r (float)
One sided autocorrelation (r0, r1, r2, ....)
g (float)
The right-hand side of the system of normal equations
f (float)
The filter coefficients output by the subroutine (f0, f1, f2, ...)
a (float)
The prediction error operator (1, a1, a2, a3, ...)
NOTE:
none
cross(3), fold(3), dot(3), shape(3)
Robinson, E.A.,
1967, "Multichannel Time Series Analysis
with Digital Computer Programs", Holden-Day, 298p.
Levinson, N.,
1946, "The Wiener RMS (root mean square) error
criterion
in filter design and prediction", J. Math. Phys.
25, 261-278.
No known bugs.
Copyright © 1967 by Holden-Day Inc.
Holden-Day Inc., Liquidation Trust, 1259 S.W. 14th Street Boca Raton, FL 33486 Phone: 561.750.9229 Fax: 561.394.6809
This subroutine is included for distribution with Basic Seismic Utilities (BSU) by joint permission of the author, Enders Robinson, and Holden-Day Inc. Liquidation Trust, Frederick H. Murphy, Trustee. Being part of the BSU package, it is governed by the terms of the GPL license, and is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 675 Mass Ave, Cambridge, MA 02139, USA.
E. A. Robinson