SPcovXpc

Routine

double SPcovXpc (const float *Cov[], float pc[], int Np)

Purpose

Find predictor coefficients using the covariance method

Description

Consider a linear predictor with Np coefficients,

          Np
  y(k) = SUM p(i) x(k-i) ,
         i=1

  e(k) = x(k) - y(k) .

To minimize the mean-square prediction error, solve

  R p = r,

where R is a symmetric positive definite covariance matrix, p is a vector of predictor coefficients and r is a vector of correlation values. The matrix R and and vector r are defined as follows

  R(i,j) = Cov(i,j) = E[x(k-i) x(k-j)],  for 1 <= i,j <= Np,
    r(i) = Cov(0,i) = E[x(k) x(k-i)],    for 1 <= i <= Np.

The solution is found using a Cholesky decomposition of the matrix R. The resulting mean-square prediction error can be expressed as

  perr = Ex - 2 p'r + p'R p
       = E0 - p'r ,

where Ex is the mean-square value of the input signal,

  Ex = Cov(0,0) = E[x(k)^2].

The expectation operator E[.] is often replaced by a sum over k over a finite interval. Minimization of the prediction error over this interval defines the so-called covariance method for determining the linear prediction coefficients.

If the coefficient matrix is numerically not positive definite, or if the prediction error energy becomes negative at some stage in the calculation, the remaining predictor coefficients are set to zero. This is equivalent to truncating the coefficient matrix at the point at which it is positive definite.

Predictor coefficients are usually expressed algebraically as vectors with 1-offset indexing. The correspondence to the 0-offset C-arrays is as follows.

  p(1) <==> pc[0]       predictor coefficient corresponding to lag 1
  p(i) <==> pc[i-1]     1 <= i < Np

Parameters

<- double SPcovXpc

Resultant prediction error energy

-> const float *Cov[]

Cov is an array of pointers to the rows of an Np+1 by Np+1 symmetric positive definite correlation matrix. Only the lower triangular portion of Cov is accessed. Note that with ANSI C, if the actual parameter is not declared to have the const attribute, an explicit cast to (const float **) is required.

<- float pc[]

Vector of predictor coefficients (Np values). These are the coefficients of the predictor filter, with pc[0] being the predictor coefficient corresponding to lag 1, and pc[Np-1] corresponding to lag Np.

-> int Np

Number of predictor coefficients

Author / revision

See Also