levin(1)

NAME
levin - Toeplitz system solver

CALLING SEQUENCE
[la,sig,lb]=levin(n,cov)

PARAMETERS

n   : maximum order of the filter

cov : matrix containing the (d x d matrices for a d-dimensional process). It must be given the following way :
    		|  R0  |
    		|  R1  |
    		|  R2  |
    		|  .   |
    		|  .   |
    		| Rnlag|

la  : list-type variable, giving the successively calculated polynomials (degree 1 to degree n), with coefficients Ak

sig : list-type variable, giving the successive mean-square errors.

DESCRIPTION
function which solves recursively on n the following Toeplitz system (normal equations)
                |R1   R2   . . . Rn  |
                |R0   R1   . . . Rn-1|
                |R-1  R0   . . . Rn-2|
                | .    .   . . .  .  |
|I -A1 .. -An|  | .    .   . . .  .  | = 0
                | .    .   . . .  .  |
                | .    .   . . .  .  |
                |R2-n R3-n . . . R1  |
                |R1-n R2-n . . . R0  |
where {Rk;k=1,nlag} is the sequence of nlag empirical covariances

AUTHOR
G. Le V.