Levinson Algorithm

2012 6 18
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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

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Honglei Chen
Honglei Chen 2012-6-18

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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?

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Saeed
Saeed 2012-6-18
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
Saeed 2012-6-18
I just want to know what matlab is doing to the sequence to get the output

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Walter Roberson
Walter Roberson 2012-6-18

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

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Saeed
Saeed 2012-6-18
I do not have access to that book. But thank you for your help. :)
Saeed
Saeed 2012-6-18
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
Walter Roberson 2012-6-18
http://www.amazon.com/System-Identification-Theory-User-Edition/dp/0136566952
Saeed
Saeed 2012-6-18
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
Walter Roberson 2012-6-18
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.

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