On a recursive method including both CG and Burg's algorithms

Matsuura M.

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On a recursive method including both CG and Burg's algorithms

机译：关于包括CG和Burg算法的递归方法

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The CG method (conjugate gradient method) is one of the most important and useful algorithms for the numerical solution of linear equations. On the other hand, Burg's algorithm is an algorithm for estimating the parameters of time series models. Both algorithms are quite popular in the field of numerical calculation and time series analysis, respectively. It is less known, however, that these algorithms have a common mathematical structure. It seems that not so many researchers are familiar with both of these algorithms. Therefore, in this paper, we review these algorithms and see how they are related with each other. This leads to a notion of "anti-stationarity" in time series analysis.

机译：CG方法（共轭梯度法）是线性方程数值解的最重要和最有用的算法之一。另一方面，伯格算法是用于估计时间序列模型的参数的算法。两种算法分别在数值计算和时间序列分析领域非常流行。然而，鲜为人知的是这些算法具有共同的数学结构。似乎没有多少研究人员对这两种算法都熟悉。因此，在本文中，我们将回顾这些算法，并了解它们之间的关系。这导致了时间序列分析中的“反平稳性”概念。

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《Applied mathematics and computation》 |2012年第3期|共8页
作者
Matsuura M.;
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正文语种 eng
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关键词
Burg's algorithm; CG method; Conjugate gradient method; Krylov subspaces; Numerical calculation; Time series analysis;

机译：Burg算法;CG方法;共轭梯度法;Krylov子空间;数值计算;时间序列分析;

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2. On a recursive method including both CG and Burg's algorithms [J] . Matsuura M. Applied mathematics and computation . 2012,第3期

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3. An improved Burg-type recursive lattice method for autoregressive spectral analysis [J] . Zhang H.-M., Duhamel P. IEEE Transactions on Acoustics, Speech, and Signal Processing . 1990,第8期

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On a recursive method including both CG and Burg's algorithms

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