naginterfaces.library.linsys.real_​toeplitz_​yule_​update

naginterfaces.library.linsys.real_toeplitz_yule_update(t, x, v)[source]

real_toeplitz_yule_update updates the solution to the Yule–Walker equations for a real symmetric positive definite Toeplitz system.

For full information please refer to the NAG Library document for f04me

https://www.nag.com/numeric/nl/nagdoc_28.7/flhtml/f04/f04mef.html

Parameters
tfloat, array-like, shape

must contain the value of the diagonal elements of , and the remaining elements of must contain the elements of the vector .

xfloat, array-like, shape

With the () elements of the solution vector as returned by a previous call to real_toeplitz_yule_update. The element need not be specified.

vfloat

With the mean square prediction error for the ()th step, as returned by a previous call to real_toeplitz_yule_update.

Returns
xfloat, ndarray, shape

The solution vector . The element returns the partial (auto)correlation coefficient, or reflection coefficient, for the th step. If , the matrix will not be positive definite to working accuracy.

vfloat

The mean square prediction error, or predictor error variance ratio, , for the th step. (See Further Comments and the G13 Introduction.)

Raises
NagValueError
(errno )

On entry, and .

Constraint: if , .

(errno )

On entry, .

Constraint: .

(errno )

On entry, .

Constraint: .

Warns
NagAlgorithmicWarning
(errno )

Matrix of order would not be positive definite. Value of the reflection coefficient is .

Notes

No equivalent traditional C interface for this routine exists in the NAG Library.

real_toeplitz_yule_update solves the equations

where is the symmetric positive definite Toeplitz matrix

and is the vector

given the solution of the equations

The function will normally be used to successively solve the equations

If it is desired to solve the equations for a single value of , then function real_toeplitz_yule() may be called. This function uses the method of Durbin (see Durbin (1960) and Golub and Van Loan (1996)).

References

Bunch, J R, 1985, Stability of methods for solving Toeplitz systems of equations, SIAM J. Sci. Statist. Comput. (6), 349–364

Bunch, J R, 1987, The weak and strong stability of algorithms in numerical linear algebra, Linear Algebra Appl. (88/89), 49–66

Cybenko, G, 1980, The numerical stability of the Levinson–Durbin algorithm for Toeplitz systems of equations, SIAM J. Sci. Statist. Comput. (1), 303–319

Durbin, J, 1960, The fitting of time series models, Rev. Inst. Internat. Stat. (28), 233

Golub, G H and Van Loan, C F, 1996, Matrix Computations, (3rd Edition), Johns Hopkins University Press, Baltimore