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1、TheTheoryofLinearPredictionCopyright©2008byMorgan&ClaypoolAllrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans---electronic,mechanical,photocopy,recording,oranyotherexceptforbriefquotatio
2、nsinprintedreviews,withoutthepriorpermissionofthepublisher.TheTheoryofLinearPredictionP.P.Vaidyanathanwww.morganclaypool.comISBN:1598295756paperbackISBN:9781598295757paperbackISBN:1598295764ebookISBN:9781598295764ebookDOI:10.2200/S00086ED1V01Y200712SP
3、R03APublicationintheMorgan&ClaypoolPublishersseriesSYNTHESISLECTURESONSIGNALPROCESSING#3Lecture#3SeriesEditor:JoséMoura,CarnegieMellonUniversitySeriesISSNISSN1932-1236printISSN1932-1694electronicTheTheoryofLinearPredictionP.P.VaidyanathanCaliforniaIns
4、tituteofTechnologySYNTHESISLECTURESONSIGNALPROCESSING#3&MCMorganClaypoolPublishers&ToUsha,Vikram,andSagarandmyparents.viABSTRACTLinearpredictiontheoryhashadaprofoundimpactinthefieldofdigitalsignalprocessing.Althoughthetheorydatesbacktotheearly1940s,it
5、sinfluencecanstillbeseeninapplicationstoday.Thetheoryisbasedonveryelegantmathematicsandleadstomanybeautifulinsightsintostatisticalsignalprocessing.Althoughpredictionisonlyapartofthemoregeneraltopicsoflinearestimation,filtering,andsmoothing,thisbookfoc
6、usesonlinearprediction.Thishasenableddetaileddiscussionofanumberofissuesthatarenormallynotfoundintexts.Forexample,thetheoryofvectorlinearpredictionisexplainedinconsiderabledetailandsoisthetheoryoflinespectralprocesses.Thisfocusanditssmallsizemakethebo
7、okdifferentfrommanyexcellenttextswhichcoverthetopic,includingafewthatareactuallydedicatedtolinearprediction.Thereareseveralexamplesandcomputer-baseddemonstrationsofthetheory.Applicationsarementionedwhereverappropriate,butthefocusisnotonthedetaileddeve
8、lopmentoftheseapplications.Thewritingstyleismeanttobesuitableforself-studyaswellasforclassroomuseattheseniorandfirst-yeargraduatelevels.Thetextisself-containedforreaderswithintroductoryexposuretosignalprocessing,randomprocesses,andthetheoryofm
