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The prediction coefficients
are easily computable from the
autocorrelation function:
To obtain the
th-order linear predictor coefficents
, solve the
system of linear
equations:
In Matlab, ``
'', where
, and
.
- Solution always exists
- If rank is
, solution is unique
- Unique solution is always stable
(roots of
are inside the unit circle in the
plane)
- Since
is Toeplitz, an
solution exists
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