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Forked from jameslyons/levinson.jl
Created January 18, 2016 08:39
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Levinson durbin recursion for LPC calculation
function levinson(R,L)
a = zeros(L,L)
P = zeros(1,L)
# for m = 1
a[1,1] = -R[2]/R[1]
P[1] = R[1]*(1-a[1,1]^2)
# for m = 2,3,4,..L
for m = 2:L
a[m,m] = (-(R[m+1] + dot(vec(a[m-1,1:m-1]),R[m:-1:2]))/P[m-1])
a[m,1:m-1] = a[m-1,1:m-1]+a[m,m]*a[m-1,m-1:-1:1]
P[m] = P[m-1]*(1-a[m,m]^2)
end
[1 a[L,:]], P[L]
end
function lpc(sig,L)
R = xcorr(sig,sig)[length(sig):]
levinson(R,L)
end
sig =[1:20]
L = 5
a,P = lpc(sig,L)
print(a)
print(P)
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