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rlevinson() - Signal Processing

The reverse Levinson-Durbin recursion implements the step-down
algorithm for solving the following symmetric Toeplitz system of linear
equations for r, where r = [r(1) … r(p + 1)] and r(i)* denotes
the complex conjugate of r(i).[r(1)r(2)∗⋯r(p)∗r(2)r(1)⋯r(p−1)∗⋮⋱⋱⋮r(p)⋯r(2)r(1)][a(2)a(3)⋮a(p+1)]=[−r(2)−r(3)⋮−r(p+1)]r = rlevinson(a,efinal) solves
the above system of equations for r given vector a,
where a = [1 a(2) … a(p + 1)]. In linear prediction applications, r represents
the autocorrelation sequence of the input to the prediction error
filter, where r(1) is
the zero-lag element. The figure below shows the typical filter of
this type, where H(z) is
the optimal linear predictor, x(n)
is the input signal, x^(n) is the predicted
signal, and e(n) is the prediction
Input vector a represents the polynomial
coefficients of this prediction error filter in descending powers
of z.A(z)=1+a(2)z−1+⋯+a(n+1)z−pThe filter must be minimum-phase to generate a valid autocorrelation
sequence. efinal is the scalar prediction error
power, which is equal to the variance of the prediction error signal, σ2(e).[r,u] = rlevinson(a,efinal) returns
upper triangular matrix U from the UDU* decomposition R−1=UE−1U∗where R=[r(1)r(2)∗⋯r(p)∗r(2)r(1)⋯r(p−1)∗⋮⋱⋱⋮r(p)⋯r(2)r(1)]and E is a diagonal matrix with elements
returned in output e (see below). This decomposition
permits the efficient evaluation of the inverse of the autocorrelation
matrix, R−1.Output matrix u contains the prediction filter
polynomial, a, from each iteration of the reverse
Levinson-Durbin recursionU=[a1(1)∗a2(2)∗⋯ap+1(p+1)∗0a2(1)∗⋱ap+1(p)∗00⋱ap+1(p−1)∗⋮⋱⋱⋮0⋯0ap+1(1)∗]where ai(j) is
the jth coefficient of the ith
order prediction filter polynomial (i.e., step i in
the recursion). For example, the 5th order prediction filter polynomial
is a5 = u(5:-1:1,5)'
Note that u(p+1:-1:1,p+1)' is the input polynomial
coefficient vector a.[r,u,k] = rlevinson(a,efinal) 
returns a vector k of length p + 1 containing the reflection coefficients.
The reflection coefficients are the conjugates of the values in the
first row of u.k = conj(u(1,2:end))
[r,u,k,e] = rlevinson(a,efinal) returns
a vector of length p + 1
containing the prediction errors from each iteration of the reverse
Levinson-Durbin recursion: e(1) is the prediction
error from the first-order model, e(2) is the prediction
error from the second-order model, and so on. These prediction error values form the diagonal of the matrix E in
the UDU* decomposition
of R−1.R−1=UE−1U∗


r = rlevinson(a,efinal)[r,u] = rlevinson(a,efinal)[r,u,k] = rlevinson(a,efinal)[r,u,k,e] = rlevinson(a,efinal)


Optimum Autoregressive Model OrderOpen This Example
Estimate the spectrum of two sine waves in noise using an autoregressive model. Choose the best model order from a group of models returned by the reverse Levinson-Durbin recursion.
Generate the signal. Specify a sample rate of 1 kHz and a signal duration of 50 seconds. The sinusoids have frequencies of 50 Hz and 55 Hz. The noise has a variance of 0.22.Fs = 1000;
t = (0:50e3-1)'/Fs;
x = sin(2*pi*50*t) + sin(2*pi*55*t) + 0.2*randn(50e3,1);
Estimate the autoregressive model parameters.[a,e] = arcov(x,100);
[r,u,k] = rlevinson(a,e);
Estimate the power spectral density for orders 1, 5, 25, 50, and 100.N = [1 5 25 50 100];
nFFT = 8096;
P = zeros(nFFT,5);

for idx = 1:numel(N)
    order = N(idx);
    ARtest = flipud(u(:,order));
    P(:,idx) = 1./abs(fft(ARtest,nFFT)).^2;
Plot the PSD estimates.F = (0:1/nFFT:1/2-1/nFFT)*Fs;
plot(F, 10*log10(P(1:length(P)/2,:)))

legend([repmat('Order = ',[5 1]) num2str(N')])
xlabel('Frequency (Hz)')
xlim([35 70])

Output / Return Value


Alternatives / See Also