durbinlevinson
Perform one step of the Durbin-Levinson algorithm..
Calling Sequence
durbinlevinson (C);
durbinlevinson (C, OLDPHI);
durbinlevinson (C, OLDPHI, OLDV);
Parameters
C:
The vector C specifies the autocovariances '[gamma_0, ..., gamma_t]' from lag 0 to T.
OLDPHI:
It specifies the coefficients based on C(T-1).
OLDV:
It specifies the corresponding error.
Description
This is an Octave function.
Perform one step of the Durbin-Levinson.
If OLDPHI and OLDV are omitted, all steps from 1 to T of the algorithm are performed.