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1、TheTheoryofLinearPredictionCopyright©2008byMorgan&ClaypoolAllrightsreserved.Nopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans---electronic,mechanical,photocopy,recording,oranyotherexceptforbriefquotationsinprintedreviews,withoutthe
2、priorpermissionofthepublisher.TheTheoryofLinearPredictionP.P.Vaidyanathanwww.morganclaypool.comISBN:1598295756paperbackISBN:9781598295757paperbackISBN:1598295764ebookISBN:9781598295764ebookDOI:10.2200/S00086ED1V01Y200712SPR03APublicationintheMorgan&ClaypoolPublishersseriesSYNTHES
3、ISLECTURESONSIGNALPROCESSING#3Lecture#3SeriesEditor:JoséMoura,CarnegieMellonUniversitySeriesISSNISSN1932-1236printISSN1932-1694electronicTheTheoryofLinearPredictionP.P.VaidyanathanCaliforniaInstituteofTechnologySYNTHESISLECTURESONSIGNALPROCESSING#3&MCMorganClaypoolPublishers&ToUs
4、ha,Vikram,andSagarandmyparents.viABSTRACTLinearpredictiontheoryhashadaprofoundimpactinthefieldofdigitalsignalprocessing.Althoughthetheorydatesbacktotheearly1940s,itsinfluencecanstillbeseeninapplicationstoday.Thetheoryisbasedonveryelegantmathematicsandleadstomanybeautifulinsightsi
5、ntostatisticalsignalprocessing.Althoughpredictionisonlyapartofthemoregeneraltopicsoflinearestimation,filtering,andsmoothing,thisbookfocusesonlinearprediction.Thishasenableddetaileddiscussionofanumberofissuesthatarenormallynotfoundintexts.Forexample,thetheoryofvectorlinearpredicti
6、onisexplainedinconsiderabledetailandsoisthetheoryoflinespectralprocesses.Thisfocusanditssmallsizemakethebookdifferentfrommanyexcellenttextswhichcoverthetopic,includingafewthatareactuallydedicatedtolinearprediction.Thereareseveralexamplesandcomputer-baseddemonstrationsofthetheory.
7、Applicationsarementionedwhereverappropriate,butthefocusisnotonthedetaileddevelopmentoftheseapplications.Thewritingstyleismeanttobesuitableforself-studyaswellasforclassroomuseattheseniorandfirst-yeargraduatelevels.Thetextisself-containedforreaderswithintroductoryexposuretosignalpr
8、ocessing,randomprocesses,andthetheoryofm
