Yule Walker Equations: Efficient Implementation and Correlation Analysis

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Description

This lecture covers the Yule Walker equations for efficient implementation and correlation analysis in signal processing. It discusses the computation of empirical correlation, biased vs. unbiased correlation, and issues with extreme lags and non-zero mean signals. The instructor challenges students to propose efficient implementations and reduction of estimation issues. The lecture also delves into linear estimation of AR parametric models, Levinson's algorithm, and the computational burden involved. Practical examples and Matlab practices are provided to enhance understanding.

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Official source

https://mediaspace.epfl.ch/media/0_itk3g725

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