Levinson Algorithm

What are the steps Matlab uses to calculate the Levinson recursion of a sequence:

for example: Rxx=[2 1 0 3 5]

I have looked at the matlab function page and in code in several of the matlab file exchange files and I can't understand how matlab performs this algorithm, if I could see a simple solution I would be able to understand it.

Thank you

Answer 1

[Honglei Chen]

Have you tried levinson in MATLAB?

help levinson

BTW I'm not quite sure if I understand your Rxx. Are you referring to a covariance matrix or is this just a sequence?

[Saeed]

Thank you I have tried help levinson, it tells me how to use it, I'm trying understand what it does, and by Rxx I meant The Autocorrelation sequence of a random process

[Saeed]

I just want to know what matlab is doing to the sequence to get the output

Answer 2

[Walter Roberson]

Read the cited reference, "Ljung, L., System Identification: Theory for the User, Prentice-Hall, 1987, pp.278-280."

[Saeed]

I do not have access to that book. But thank you for your help. :)

[Saeed]

Also I would guess that the matlab algorithm may be performing some variation of the algorithm in the reference and its very important that I try to understand the matlab. :)

[Walter Roberson]

http://www.amazon.com/System-Identification-Theory-User-Edition/dp/0136566952

[Saeed]

You are really very helpful today! going out of your way to search amazon for me... thanks so much, but if it's all the same to you I think I'm going to wait and hope for some one who really knows about matlab to help me. :) That's why I'm here.

[Walter Roberson]

For the depth of information you need, you are going to need to file a request with Mathworks technical support. They might possibly tell you that the details are proprietary, but you can ask.