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•

•

AadersOIl, T. W., 'Tln S'arinicIJ/ A.>tl.liysis ot Ti"". s~ r ies, Wiler.' N~ .. York, tin.

Bender, J. S., and A. G. Pie s sc l , R!I"Jam D'~lj: A,u/,lis tJfliJ Me'IU'I'~melf" Pr()/:et/'If(lS, Wih:y, New York, 1'71.

. ..

flox. G. E.. P., and G. M. Jeokins, Tim.: Serie» dfHllJ/sin FortclU,jllK "lid C(1"I1'/~I, Holden-Day, SaD

Fnnc:hco, 1970.

Chambuh.i1l, J., The Pri"e;pln 01 l"urju<Jmez,j c Spurf"ol;;op'i. Wiley. New Yt>rk, 1919.

Gen.ch, W., "Specltal Ana1r$h of EEC's by Autor¢greuive Decompo.ition of Time Sui!>'!:!, Malh ..

Biosei«, Vol. 7, pp. Z05-222, 197(1.

Hacker, C. S., "Autoreg[cssive imd TUD.sfU Fu nc rion Modc:h of MQ,quito POpdlltiOIl.$", in Tim~ Ser;~1 "n4 Et:f)Jogieoi ProcerrH. H. M. Shugat, ed., SlAM, Philadelphia, 1978, pp. 294-303.

Holm, S., and J. M. Hove m, "E~limatiog af Scab: Ocean Wa.-e Speerra by the MuimulD EnUOPT MHbod,'" iEEE T'r ans : Duan. Eng., Vol. OE4, pp. 76-&3, Ju.ly 191'.

Jain~ A. K" "Aduncll~ in Mathematical Mode l.ing for Image Process ing ", P~Ot. IEEE. Vol. 159, pp.

S'OZ-S28, Ma.y 1981.

r

Jeukin s, G. M., and D. G. Wans, Spe&.JrGl Anal.ysis a"t! 11$ Applil;'tui'UH, Holden-Day. S~n FUDdlco.

1968.

K.ay, S •• -Autongreuive Spc(;tul Andy.i. of Narrowband PrO(leues ill Whire Noise with Applica-r iou [0 Sonar Signals"'. Ph. D, dissertalioll, Geurgia. lnarirure of Tec;hnoiogy, 1980.

Kay, S .. and C. Demeure, "The High Resolution Spectrum E&tima.tOl~ A Suhjective Entity", Prn«; IEEE, pp. In'5~1816, Dec. 1984.

Ke nd al l, M .. a.nd A. S. Stuar t , T ht Ad"altc~d ThtOFY of Sla~itri&~, Vol. !, Ma.cmilla.n, New York,

197~. r

Kn i g hr , W. S., R, G. Prfdh am , and S. M. Kay, "Digital Sjgnat Proceuing for Sonar", Proe; IEEE.

VoL 69. pp. 14'1--1506, N(I'I. l!il\1. j

Koo pms ns, L. H., TAe Sptt:tl'a/ A.tf.(1/YJis cf Ti.,.~ Stri(l" AcadetrJic Pr ess, New York, 1974.

Landers, T. E .. aDd R_ T. Lacon, "SoIOe .GeophJ$i<:1ll Application, of AQ.to(~gr!!lSive Spe:ctul El1imates", IEEE Traits. Grosei. EluJron .. Vol. GEl5'. pp. Z6-3Z, Jail. \971.

Makhoul, J., R. ViliWllnatbaD, L. COBeB, aild W. Russell, "Nuural Commuuieati1lD with Ccmpure rse Speech Comprcniou Ruearllh at BBN", BBN Rep. 2916 Il, Bait, Beunek, and Newman, [D.c.,.

Cambridge, M.,u.; 1974.

MonzingQ, R_ A., and T. W, Miller, Imrod .. criot1 HJ A.d(lprj"e A,I'o),s, Wiley, New York, L980. Oppenheim, A. Y., and R.. W. Scbafef. Digi~fll Si,,,al Pn'Nuj"g, Pr enuc e-Ha lf , Eng Ie wond Clifh •.

N. J •. 1975.

Rabiner, L. R., and R. W. Schafet. Di",,,1 Pro ee ssi ng' Cif Spu~/; Sil!tolr, Pr eu t ice-Hs Il, Englewood> Cliff •• N. J., 1978..

Van Treu, H. L., Des e es i o«, Estimaliort, (lnd Motlulasio>! Thear,! •. Vol. 1, J, Wiit!!y. New York., U61l. Werneckf;, S., .. T .... o-DimenslQD.al MaximQ!o Entropy 1{e!:oD~lructioD oi RadiQ Brightness", R.Jio Sei.,.

Vol. rz, pp. 831-844, Sept.Oc;l. 1977.

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l

.,~19] - (2.23409,O.!363S3)

~(20) ... (Z.2949,O.1'3061) x[21) - (l.O!H86,O.140938) ",[n] - (2.2513.53,0.4421)44) .,[23] ... (0.6!l5823)0.5093iS) ~[24J = (0.759858,0.4175161) %[25] - (-13.354267,[1.506991) a-lZGJ = (-iJ.594H7,().39703) zU7J ~ (-1.88618,0.6491151) .e] ~8] ~ (-1.39041,0.1167086) .1"(29] = (-3.06381,O.4229<i5) ~i 30J - (-~.O'l33,O.(J111.5514) .1'[31] - (-2.1628,-0.O~33118)

.. 11 •

%[ 0 J - 6.4616&

.eLl) -\.2&024

:r[ Z } 3.14,788

z[ 3 ] ~ l.96092

x[ 4 ] ... -:D.76IlH9 x( 5 ] - 4.14S69

x[ 6 J - -4.05277 %( '1 ] _ 1.6$1136

.1'[ Ii] ~ -2.064U ~[ 9 ] ... -3.3339'1 r[IO) - 0.085145 x[ II ] ~ -6.06562 z~L'.) - -0.4116»11 ~[13J'" -3.61831 z[ 14) = -1~5J.35l ~[151 - 0.481S22 :I"[16J'" -1.936H rfl7j - 2.35'32 r[I~J = 0.li56Z • .r119J = 2.21991 .r[20 J,"" Z. 258804 Jr[2l) - 1.07371 s[22J - 2:.26531

o1'[23J 0.685067

~[24J 0.762859

,~I25] - -0.501008 xf26] _ -0.640'518

;(27) ... -1.9902.63 ~(28) "" -1.fi()416 s[29] - -~.22751 $.:30J - -2.2194' &'[31] ... -1.4224'

....

C C

2.1 51

J!-.tf:1~1PJ iji- -F ~~ ft~ftlffi~i1?;fJ9~®:m:~!ai~. :fErooagM~qrfi5l::*~ ~~ ~~?if B ~f.jm 7 ~. m~:tE =t:J ~ .R1!Jm!tt:Jt!:lttffl511: ®JHt;:a9.~, rm~:iJrJ iIE~. ;Ii' ~~Hr~i6,~~OJt;t~~«NJf.ltX~ftlt» [Nobel and Danjel, 1977] ;f!l«fJJ~9BWft~» [Hohn , 1973] ~WfF. *4St:p~j1~iJ2.aJl1!f7r!> J:11WJEm1nB..m~:fl:l*ii~:;i;j[lt.

---

7§-m 1- m X n !l~~ A, jt5G~79 ali ~ j - 1 ~ 2, •••• M;i _, 1,2,··· ,no aj&m ~~ A flit, A tt-ltiHtta%:i:

[A]ii = ai,

A 1¥Jf.i.t2~ AT, jE.$(j95G.:I!! tlu $8 n X m~~~,~ [AT);j .... OJ;

rq]:W::tt!!.~ A R9~m~fi (Hermitian) •• (~~ft$&.) t2~ Aft, ~_)(~ 11 X ... m;e J5$ ,jt5G.7tr

[AH] .. _ .. ~

" .. ,.

X1T~n!~,1f s» - AT.

~,*~~m ~ !MI¥J~~ Pn~~IS¥£~.!..ag; fm. Air - A, !lt~ j[h,*~~m"*~IY!l. ~w~~~m~~x~~fi~~®~§,~~fi~~~~§~~~s .• xnh~ atri!!I@J$>03-JE: n X tJ }j~,tatF A-i, 'Bff

A-1A _, AA-l-l

;tttfl I ~ 19 X n ifltI.~~. ~.fH£~ A Wi*~T tllM", A ~~~~:;;t~tE. W* A

-

a'D!tjEt¥._*ft~.Jlll A39IfH~ •.

n X n ::OWa-gfiJUitJt.J det(A) **:ff-;. 131¥.Ji-t.j\;g

11

det(A) - ~ "liCIt

1 ... 1

(2.1)

C ii - (-l)I+;Mn (2.2)

." __ _. ,'_ .. ...-r-.

M.; ~MAr:f:rI]~~~ ; ft :fPjf; i ?lJJ§f*J!J~-r~j}$.®fiJljlt;~:}9:JG. t1ii fg*r~,

C ti ~5C:I: 4" ~~I!I=f. ~.,.tE i ... 1 ,2,' .', n t:f:t ,~T i a9tE-~:Ji¥I5~fiJlJ;f€~

.

tmft.;tl~det(A) ~.. . •

, • 11 •

"." __ . _- .. __ ..r •.

./

.. __ "

" .

Q - ~ ~ aliri~i

(~1·· j" 1

(2.3)

.5tt:? ai, ;fn Xi :I5J~ ~f{. :tf!iES(=(X~lf,jft1f11Nl& ai; - (1;" j$#;f:~~~)fH~EjijJ:OC ~ DroJ , lZSJ 7tr 1£ for = (?z if! ~ is] 1tJ Jtl JZ f* :15 ~ *ff;. §j?'r, Q XI; ~ IC1. *5F pt

Q = ·xT Ax (2.4)

~r:p x = [X"Xl •••• ,x. F, :# J3..~~ ~ ~lIlijJE /Iii·_' tlif a9 II ~I)$, !iJ(;~:W::~~ ~!l$. fFjjfH~,~~*~I:lQ;:£5L~ .

(2.5)

5=trp aij ;ft.l Xi :lq~i:~, # Ji flJi: Ojl ~ a~, t!:dit~m A J!~%rott*ft8.;tiA Jl!5($; 5G~:9 a;i ag n X n :I~}]Z**3=n~,!JtU (2.5) :A;ili1lTIJ.~p'x;

Q = xHAx (2.6)

:r.t~,!E!~ A £:li~*~$.J,PJT~Q_£~~.

- -1'" n X n §t ~ ~:Jj\'l$ A frfl* :fl::;ijt8~ **1 a9 ,if £L 'E agJj;~ ** ~~ ~F ifJ. as. !£:11t X1rm1fati X ~ o 1'f

xHAx ~ 0 (2.7)

~~j A i::*iElE~. tIn* A ~~~*!M:~LF~~1E~, !!~k~~ A ~iEjE~. ~ ffil J-f!:l,3m*~-t- n X 1J ~~jj"~J!x-.t~a<JtffijJiX'>.tTJiJT:f!·~~ ]I; ~ o. ~

xTAx ~ a (2.8)

mIl A f1::*JE~IY:J. fm*::.~mFm7k1lf$:, 1.!~ z.~1S$. A ¥:JE~~. ~Ha1€IS$~:XJ~}j: it:J¥:~i£~~IM, 1I'M' J@1!;h~~1'-~!5"tM:~1y,*~J¥9(W;~;f$~).

m X 11 #tJdl!r4 A j:jJ m'E.~r:1€~*~iK .. 'WIJW:i--} 2 x 2 ~tIc;e!!4~;&7F.5;\t

A [An Au] (2.9)

= All An

5:.\'Al&1-<·J1;~" A;;W~ A 1tl~1-.:y·9i8~. 7.t#.:m~ A 1¥J~f{~

[ k X I k X (n - /) ]

(m - k) X'l (m - k) ~ (n - l)

~1AI!,,*:I: n X if ~:IJ~, X'.tr j ~ i tr9PJT1f:7t~ 0i; - 0 t £«;~ill.~±X11f3~*:jt ~jG#:l'$j~~. X1 ~9E~*~;X:)

[all .0 • . • 0 1

A" ? a}2.·~· ?

t • • •

. + .. • ~

o 0 • .• au

~ ~~~fflM"ili ~*7.R~ ~ .... 0 ... ), ,~ftJ~j)$tfJ~~J$iiJm~JT:(£x-.t Jf!tl,

(2.10)

• ~ 2 •

"

I

_tJ1'.14i-5G~*{tjf{·~1J~;j(~ •.

J~~M~~~~nxn~_~~~.

A .... [~" :" : ; : .: J (z.u )

0: 0 • ~. i.V•

J;!:¢?JTWIl9T~~ Aii 15]){J:I5l5$t# ll~BT~~lft5~~. ~I)$~~ff~~~~ ~J 3m, PJl* k - 2,!QU All iiJ~~1! 2 X 2 ~~~,!ill A22 £~ •• rut,=~~ag Au J5JJ.!9Fit ~!¥.J l!il~ A ~~~~&t~~?G:~*:&:

[A!~l .0 .••• 0]

A-I _ 0 Ai:} .•.. 0

• ... ,.. It

• " III ,

~ ... • +

o 0 ••• A~l

[ o ,.. 0

o . . . 1

J E:::!":!!. .. •

. . . , . .

1 . • • 0

">. •

±:)t.3Z.~ Jr:JAA (cross-diagonal) .l1¥.l7t~£1f-.tu: 1 j rm;lt'65G~j$J;.g~. t±;i:, J £xt

frJ'B.# Ji(J2 -I~ ruT·

.\..

det(A) ~ II det(A,J

t '" J

(2.12)

I

\.

(2,13)

i 1

(2.14)

JfrQ)" tfm~_~~I¥J[~--}9C. ~ ~!fi*;§!t£3:t~~".$ti"77G.1Ysl&" "'F=1fJnxn1;l!$fiE>LX1

lall 0 • •• 01

L 4:2. all • • • .0

..... l ... .. ..

I .. • •

t • • ...

O.L Qal .... Oflfi

"F ~~ffi)!$(f,J~?EM'VJ~R:: r ~jij~I4(~m >Jm 2.1). L BtIfr7tJ;J:t;l!

.

det(L) ..... II <Ii;

1= t

JP1*F.t&,.J:.=:IF.I tJ X tJ n~JE)t;9

l(J~1 Ql~

U ~ . <lp

, .

·0 0

~--~~ .. -- .. -~~~ --~

(2.15)

(2.16)

(2.17)

• 13 ."

--......,.-------..._--'......___ -----_.------ -_

'E~1.2!1.E.&£J:~ft1!rti)$,jt:fi'71JAm (2.16) P:NtW. . .

,

P!1¥

(2.18)

(2.19)

A-l_ AH . ~U~ A )9·IiJE~. ii:t:B)5$-:-5EfIl11.tE.~f¥(~mifB 2.2)

(2.20)

(2.21)

( .2:1()

exp -1-;

( .211' )

exp -1-;;2 .

1

••• exp ( _j2: [n - 1] )

x

1

. . , .

1 exp (_i2: t- - l}) exp (-/; 2[n - 1]) .. -exp ( -: [n:- }]2)

(2.22) q~t:@!I~tH ,~Mia9 7~(:fOfT H~:~ftlE~a9, ~Jlt, W £-~~IS$. ~~ zA §€till T:lii

.

M~:&.I,*!I. (FFT) ~~JtH~;EJi!. DFT I¥.Jtt~~~~ FFT.

-AA~!i&t~u...n x 11 ~~jjW,~5(~

(2.23)

~cp -x ~" X 1 ~~* •. ~W.~,l{#~;ESl.:Xl A - Xltll

(2.24)

[3;1Xf 1:174

'" . .

A -= Xl,Xl :rZ~l

. .

. . .

x.z~ x.xl'

XIX: ]

.. oil. %2%:

· .

· .

· .

.+. x.x!

~$;@JtXt,}. .

•• ~~.~xn.~~i#A~2.~ Al_A

~1-~¥t~I!!.~ I ~ 1 nt1f A~ -A. Mjm,&IH~~(~ms::J1I2.4)

--

.....

~~"""'~~-","~------~-

A = F(FHF)-IFR

Jtrj:l F ~ m X II ~:f1d€~ em > n), J!-t~~~:tE./b=~rii]mtP tfj:oo(~'! 3.3.2 lj)_ .~I1,*~ n X II jj~ ~;ltj[;.E8 {80~a,.··· ,0.-1} 5Z n ~fiH[px, %:r.t:X1 [Gray, 1971)

f CIa 0, ••• a"-'1

A = 0" ... , o~ ••• {l".;

... to • •

• • III •

4 ... • .'

(J, 02 ••• 00

.-fi.~.~-ff~~.~8&~H~. M~~~~~~~m3a~T~%~~.~

(2.25)

1i(~.m 2.6 10:

------

(2.26)

jt:cp W IE (2.22) ~~ ill ~# _§_

A-I d i ( 1 I 1 )

= lag -~ -- •• ",-

1, A~ 1.

ArF 1; IE (2.45) :J:tit;W. M (2.41) ~ (2.45) tW;c\.~~~tl{J§£f1€~(t:rrr9iJ:rt. M:£f1t! j)1'j:q'i'tl-1'-~~J~ n X n tt~1F.*!t'ifjjJS*(m 31 ~ 2.5)

(2.27)

e; ~ llexp(j2;1rf,)exp(i21r2fi)" ·exp(;2:1(n - l)f;)JT

ft _§_, ~ fI ~OOI~Jh:t, tElZ.ll3l [- nil, n/2 - 1] J:., [J..bt ~ n X1%:nIMt'E Jz: fa] [-(n -1)/2,(n - 1)/2J _i, I. =- kin, II - 1/71, ~$ k, I lIll.::fI2iJa9tU&. ;B:Jr~f-;.;fQ~ +-It tf:1 if ~ Jf:I,,~~ J! 1'- ~ w.

• r

[Al,,=a,_i

- l lie S.c, (J_J _ i , a_{,,_,,]

A = 0, On (J_,' •• a_~._~)

.. . . , ...

• • III .. ..

+ • III .. •

0 .. _1 0" -1 a,,':". .;.'.. Q.

(2.lS)

j.\;~ra g§::[t;- jJ~i1 . ~5I;~j$jffi rRI • .dt7i-~ tlu* Q_t - aX, D1~ A ~~m

'. -_

~~-re~~a~p;: ~ ~HA-i-~f!~, #1La ,=a~, lj~i" A J!xt$jt4"E1t1j1j~1€:~.

~ J]\ *1!=jf;iIi!lJ ~ ~WEt.I Jtti12W~~ $ffiM -~ 71J E\1E~ ~ m.~~ 1f j $l..Jc.tIt'Il [Cantoni and Butler. 1976]. jl'dEjI1fa3:1$~~:!l!:*ff*~~t#_§_~~T±'~JlM:m

,-- .

~ W [(j; a9 .. It;g}..it X1 ~ #. ±: 3< Y.. X1 Jf.I t& 1E:: M. 3tdt m r~l[§ 1¥3 Ji fnJ ~ $:x-t jJ§~. $-1--

i9'Jr ,ftIJ* A :!! 4 X 4 :ti$*t.J-tE1PrU~~~ ,!AU

[In hi) bl• I"]
b~ bn hI< b.,
A-t_
b~ h~ b2l b,!
b~ bf, b~ bu
. l' . 'nJkl ~ ill , 1$O~JB~ ~~}F **f a9 , if J3.1i!.~J SCt-t f1F eg ,WG~ ~ nt

[A -I]ii - [A-l]._i+h,,_i+l

~ft1U71J~!EE~agim~WX1T±X1 JG~f03::~Y..x-tJf3#(±5Jxf~ eM!.):j l\!i 2.7). :t.Em· t\liII=PMitatJllJ)(~ (Levinson) ~m, tt tl::I T tt.1f1P;rJfJdfi~®~;eI$$~f13'1J5:t;I't::r ][fl$tit.

-: '.

2.4 ~1S$j£ ~1l;l\:~J:t '

.

*iJ~,~fS:1§!4l¥-Jtt~~~rpB9~~:frm0-:t:. "foo~frHr-J;kTm X n ~ ~ ~ A ;fO B tt9 ~ ~;P:; ~ ~~ 1ft:ff Jtj 1tI. ~ 1k $U 9B Wi' * .ieJlHT ~u;ct t¥.J ~5t ~ , M3 ~ >JH€J!$ £:15~ ,.

~~ m =- n, .... -

(AB)1\ """ BTAT

(ABY- _ 8HAH

(AT)-l _ (A -l)T

(AH)-l .... (A -l)H

(ASyl =B-IA-I

det(AT) ""'" detCA)

{2.29}

det(AH) ~ det*(A)

delecA) = c'"det(A).c ~;t1j;. det(AB) -- det(A)det(B)

~.

det(A-') _ 1

det(A)

ftn*~~.~fi~*-+~W~mffi~,~~~m~w~~~ ~xn~~~~ ;:§V$J!

A +t _ Cr det(A)

3t~lj C :;If.:~~ A (tJ$R~-f-1¥£J If X n !l15W. #f!Frjf!P'F-'.i:E.$l.~

[C];i - (-l )i+IM;;

~rF M;f ~ aii ~*'=f:xt, 't::;[~~iS$ A q::qr~?$ i fi5flJ~ i ?lJJlI.Ilj~ra~J!jtriJ. §~l"~F'~fl mag0P:;~~IIf))t~ sUI:

(A + BCD)-' ~ A-I - A-IBCDA-IB +C-I)-IDA-1 (2.31)

J1t~ft;E A ~ n X n §9!, B Ji1: 11 X m~, C ~m X m$~ D £m X n !l~)S$,rfu.ft 'E {n.®129EIS$~.f?:tE. 1f-:f!I!*f'*tPfI£,~P B R:: 11 X J ?ll~1t u .. C R::~"'1l'z:$ ... D ~

... '

(2.30)

(2.32)

.7bfiitiii§_li! (Wf,odbury) tS"$j.i\. i'.'i:.Jffilifsm m~:rt"EJt;l:i~HttJtJtH,o.t.~/j'--nil!$ 1I[lJ:#~:'EHil$(m.5Jli: 2.&). $--t~j-r, rul*'~*tb A + DlaiJ + u~ur l'fJ :i2!,~

• 16 •

. _. -'_._ _- .. -.-.-.~--~

~~s~~~~~~-~~*, ~~~OO~~ft~~-.~~**g~~~~. ~*m ~ta~1M ;ffi~Hf~J-TJ,Eft$lHrnft PJt§~~. rIID~-1'- 2 x 2 7t;!J!:~rvf.t~~fB{flT:

AD = rA,l A,z] [BII B,: 1 ~ fAItBlI + A'1B1IA)lBl~ + AI2Bl~] A2, An a, a, A1,BI1 + A.1B1JA1,B'l + AnSi]

~~~~~fi~~fi~B~~~~~~fi~h~*n~ #~.-~~~~~H~~ •. ~ rm ~S ill 7 ~-t- 2 X 2 7J- tk: ~1Yf .&>'J {9IJ T :

rAH Al1]H =- [A~ A:,

!Al. All .Au AnJ

~~~~@~~~m.~r~ff.~~~~. ~m~~*~~*W~~~~~~~~~ fTjiJ:i!t. ~ A :l£" X "?t;l;l.1;JJ~:

rAil AI!] [, k X k k X (n - o ]

A = IA11 An ~ (Ii - k) X k (n - k) X (n - k)

A-I ~ [ (An - A'{~n'A~~;-' _', ~(A,) - Al~Anl~21)-i~:~iil] (2.33)

-(A21. - A2,AlI A,l) A1,AII (A22 - A~,Au A,l)

det(A) ... det(A21)det(A" - Al~;IA2')

~ det(A,l)det(All ~ Al,AlilA'l) (2.34)

itcpe1W.~ All ~ A22 fl9~fftE.

~-~~~7*~~ffl~~-~.¥~~.

1. ~Jl~,~ n X n jJgg Al¥!ru!OCrr)t:!(~~?(,9X; A i¥Jfr71J~~~~IM', 1JmW A :t£ ~3!I!a9(~r.1ij:R<~)' {Et5.;fip~N.T. A ,i::.tl~; aWl ,;i;1if~a9.

"2. nxn:15i4 A j£lEJE.I¥J;~.Fl"fl~:

---

a. T:!lJ\d,$;?FJ£

Is: = CC·· (2.35)

;tt¢ C tB£ n x n ~tr ILj~:~f#d{!!S4:;

b. ±:-=f?:Jtg291Etx.

frni A ~ffl (2.35) J3:$:ffi".{Fl C ~R::rilJI~l¥J,eX~i5tt-=f5tR:I1:~~1it®,___M.z.._A ~¥1E5E~.

3. ~* A PJm (2.35) it3M:l1\, fffi C £ n x m j§1l$~ .§. m < PI, Jii~ A N::*.i£;E:

• l7 ..

A ... ± d;u;uf'~ [U1U2.' '&1 .. 3 [d; ;1 ~;:

i-I ; : :

o 0 _ ..

s:t¢ 1Ij :f! n X I 9i:iL d; :;IikJE~~.

-1. im:!l A :f~jE~a!J, 9lU!t~i§~t¥:tE, #-"EJd! (2.35) :i\:* lli, ~O , A-' -= (C-I )H(C-l)

S .• A :£iE~~,:;5' B £m x n ~f5t:9B~ (m ~ n), !Iltl BABH -tB;I£1E)E~ (!l!.

<r

JJli!j 2.10).

6. tro* A ~jEJf'Jig(*"JE5E~);Jjm a. ~;tSJ;trj£(~Fffl), h. A 003'1j~;J!1EIt(~Ffft;:t).

o 1 f1i~l

o u~

}.. .

, .

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1 1El=3~liE*. v :mmzr't:J A l¥J~iEil. ®.i9:~{i£%:i11!~/tldtag, ~ff~&*ll > $t vHv ..... 1. 3t~* A ~;ttJJ~*!fiHEJ > %tg,fl'~l~tIJ n /r-~x.tt1C*tr-J*f1i£~it, $~tf~1R1# ~

-iJ.. T, ~tiE~J!::r:;~iil~tt:J. 1}1Hm, .P~~%tTfE«*-I-.f!!*f{iEUlXt 1 ag*{IE~ •..

i]lit, A + ~l ®!tij:{[~.~ A ag!f1fiE9CJi~ rtrJ, # j3Jt¥HiEt~L~ 1; + 0-1, i .... 1, 2, ..• ~ n ; ;ltrp ~; ~ A lB~:fiE1R. trn;!;l~jpjl$ A ~;f~}J\*¥f~ (t-tT~?EJS$ A £~ if{f;1l9),~W:T::FIBJ!ffllEmftJ*1'm.=_*:i::f&IE3t(t~, ~ VrVj = OJ,, [fijiL~~*IiiEm~~~ ~ llt j~, Po *;t;§~ £ n: JE 1¥J ( * 1£ ~ s<J ) , 1.115 ~~~"","",!f,J~*JE-.:.:' f~=.:.;!ik.::.· .. _lE_:tr1_:_C:W ilu'm). :¥ jEJE~W1¥Jf'.k ~ T;ll=~¥HiEm:~t-f[~

JE)%*~J.:\. (2.36) .ifIlTU'J~I]X

f

.'

AV ~VA

(2.37)

v = [~tVl' - -v.]

A ;= diag(l,,)u··· ,1.)

tm:W: 18 1$ A :m:~ 8Z *=!tlf e9 ~ )J!1J:t-t illl T ~!Pl ¥!HIEiIllfB ~ 1ll9c It ~_iE 3C ft-J ,it- .EL ~W ;it ~ i'8

- . -

*f{iE*IJ!trr~-iff-XElE~~!lij:m:9C •• ~ 1i~~ V :J!~1e~. ~Jit, '6 ~~9ti~HE VB,

rH:: (2.37) A§t~

.

A - VAV" ... ~ .l;ViV~

; ...

(2.38)

.. ., ...

------ .. -._------ .... _ ..

__tP:;f1\Xr~j)$ A ~jlft .. atMtiE* ... it~, tm,='= A - I, Ii.!l 1; - .L~\ i - 1.2 •.•• ~

ft. ~* (2.3B) P:"EJ~.f& -,

"

1-- ~ V';v~

. (2.39)

"

LL

~

:{tit ~jjt1JZ **¥ m~ A m fHI~J*ffiEU!l59 iFgF!USI (it:::i: ~~·iHld~?J;*~~rq;.a9 ~ &}~~#),!Q~ A Il!Jli1B~Zt1~~~;jt~. )J.. (2.38) :::t .:lJ:f;J1±I~:1E~~

"

A -1 =- VH--:IA-1V-l - VA-lVIi - ~ _!_ ViV~

h'1 l,

(2.40)

"

det(A) -.. II .tj

(2.41)

;fE-AA11HJLT .~JE--t-5€~®~tE:frfjMl~mm~a9. ~ A ~m$!£Ewa>t, :iE:i!:ft fnm~B~8:ag-#!jf~t~m.,VlU (2.25) ~~~~~

.-1

(2.42)

0 1 • 0 - .. 0
0 0 0
p~ · · ·
· · . ·
· · . ·
0 0 0 I (2.43)

t J

I 0 0'··· 0

't

(2.42) :ttif1!ij po J£Sl.:!9${TI:~It$. p 1¥J~m:*ii:~

v, - -!_.;:-~ [1 exp r_j2:7tO - 1)]

.j 11 l n

exp [~j~: 2(j - 1))' .. exp [~j ~:,(n - _1)(i ~ 1)]]f ~2.44)

"~.

r .2:>1'(' )1 . 1

li - exp I ~ 1 - I - I , t - .2,," ,n

l n

EI3 (2.42) ;&:it Jt Ii]' Id. f~ ill M:tt:€ ~ l'tJ *f iiE~ ~, 't3 -& ~ EB (2. H) :i!: tit ffl t jtffl illl aeJ!f'ff fiE

"

z, -= ~ a ~ exp r - i 2 % k(i - 1)1, i-I, 2, ..• ~ n (2.4 5 )

,~~I> -, n

2.7 ~M:1ifim.MJfW

.• ~.a~fi~~~.~~$e~mt~~~m. m~".~¥~.®.~~fim

• 1" "

Ax <= b (2.46)

A9 A ~ m X Ii !l~~, X ~ n X 1 !t. b ~m X 1 fl. tt7t~ mtrlS$ A a9f~ m., 'llt$t1i!: m =0 n. :ful* A :ll~~aJ,]JlU:ff-~rll-m.,13m A-1b ;&'*. frq* A ~JEi~ ~ ,mU£~)2::Ji!dm,*ffJ, Z1 rit*-iW~ A -lh. ~a* A IF¥:~~I¥.J, m~1fifi'iJflli~fftEJW;1f;ff 7C~ $1-. tl~~!U~r~lI* [Ab] (fJf*~T~~ A 'ag~ ,'J.I~:Z.1f~~ ~H'jf(f.#tE, =a~ij 3Gim-. ~7*tl:t;i]liill.((gfi1· f.l(;1TJ%~5EMi£#{£I¥.J, ~~~ A at?~~ k < n , ~Bz.li

.jljQ]'~Jlt

~ - ~

x .... Xi + 2: ;;X.i

f -1

(2.47)

j\t:f:r x, f! (2.46) ~(8M-, Xj,( j .... 1,2, L", n - k) ~}jW

Ax ... 0 (2.48)-

ag~M:7C* •• i-~ ~j :f!ff.~~. rn (2.48) J:ti¥JJiH~~i¥9-T~fR]:fl':: A !'.$$:i£f@iJ •.

... ,...

~~€t1Z n - k ~ A a~:t"MUI. El39E~ A ~7TJ1:px-f"~Ia]~ A a~n'BIIl~la] (range

~ ---- ------

space), 'Ef8~1'\ I{ ~~J$ A~~. i:l:~: ~ + ~~~ = n,

Xf n X II :0 Il$ A, 1W IE (2.4 6) j.'C;(t] JIl- ~:fftE , jij~ z. PI JiI tt JL fIt11J.?'* * tt. ~{fTiiJ k:l. :fIJ ffl

it41 A ;E~~:ij!~IS$OJ M. (2.30) 5ttj:1;W~. ~;~, tE1iJ ffH2"JlltlatimU>1tirl¥, ~p

x. -- detCla,81' - ·aj lbllH-"':!Jl i-I 2 ••• n (2.49),

• . det(A) ""

j\;t:f:r A - [~&.l' •• ... 1. PllN A a9~1iE?t~~"iiJJ(L~!i~t¥J, ~~1".:fIJm (2.40) :rtJ!t-fW ~~

•

~ 1 lib

l[ ""'" L.J - 'Y,V;

I ~( l,

(2.50)-

mt.~~,tltiifl?lfljm3'fJt •• *"sXl(l7Jttl52r¥f~.tl:!Eit.*M(2.46) :tt CLa- .

w SOn and Hanson, 1974]. ~~15~l¥J~-~lf::~ A 11-Nt$,(A.!. >JD 2.12) .

A - LDLH (2.51)-

L £:±~jij~..tI¥Jj{;.:f5J:XJ 1 i¥J n X n T"~jffJ~~~, D J!:!::~ft~_1:.i¥J5t~ XJ ?k .IE. ~~ n X • t-j jM.:e~ ~EOC D""", diag(dud., ... ~ d,,), Ji d, > O. 15f1~ (2.46) riJ mWj~ ~ft.~r:J:jJ~)jt1W. :m (2.51) :t:ftA (2.46) :t;,f~

LDLfiX -=! b

y - DL'ix

(2.52)

[1 0

/.~l I

· .

· .

· .

. I.. I.a

• 20 •

... .

.. .. - '.'~. _--' --._ -- ~-~~.~-.- .. -.-.- - ........•....

j

(

faTr=jij~~])$S9~tiJ..,15Wmf8M1~~J1JimJ1T®a9~ftMlimq~tH:

)" = bl

01':-1

y~ - b~ - L..: ivY" k .- 2,3,'" ,1.1

0 .. 53)

i~l

- _§_;!tW T y til, jd41¥JWf.ZtIl} m (2.52) J!:;iitiifllf LHx -= D~ly

:t -= 1!1

• d

•

"

x~-y~ - ~ /fAXj, k"'n-l,1I~2,··.,1

• dJ. j;..t+1

(2.54 )

J ail , j .... 1

d,

iii -1 i-I * '

l!_i_j ~ 2::: 0~dtli~; i r: 2,3,"',i,-1

dj ~ ~ I d;

(2.55)

i~1

d, - «« - 2.: dll/1J.ll

ffl $: 2B ¢~tI17;fIJmM *Wlil7}m*m~~.1Jf-i\ml'Bit.mf1ft; CHOLESKY. !ffitE:% t&,- T ~ m ~ 1.1 lM (2.+6) J;.tagM. ~[]*-1J~~I:t*mltl'f.J-t!0:$, tiPm > n, jJ~ 1:.. tE - ~ ~ m. ---r fIt¥:::r: f¥..tE. jj ~ 11 ffl it .'J\=.'il ~

IIAx - hll" ,..; (Ax ....... b)H(Ax - b) (2.56)

l1;f&/j\a91fi!*21511!?f. x, ~~'UUJ\{t.IiJ;f'Jm 2.811$ 1(2.75) 5'\ J1t-tHtfJ}j~ ~ Mffij~f9.

.r, -

(ffi:g~ 2.13)

\

(2.57}

(l.58).

tt1H~1E A :frJ~f$l;JiEW-J:, I3l Jit AAtI fBj!J'!fJ.{t. x-1 TX)EJ~1i (1.1 < m), ' n X m ~ Il4: AH(AAH)-I 04f'f~~ A !'J9r- ..X'.J!t. 1h;&jl~~ A".

~T~fjiJm¥UIr'.l A :l:,n X n ~~13.~~ m<'" a9'~~, § k =m~"1'iJEE (2.47) it*re. ~]g ,; ~tE • .tm,!ZSIrm2:1'-Ifif.H+Jl::Pl-~ . .m* A ~~1F**fi'm, lJ!.Ih.,h M~i&¥~ ][ ... AlI'b, ;1trpr- S(J$*ff-;j~H.m."531Pl2.14)

• 21 "'

j

..

A" ~ 1 H

- ~v·v·

J " i~ I ;t,

(2.59 )

.=~~.~~~*~~ .. ~~~,~#¥.-m~ft.~~fi. ~~*-~~ ~.~~=~OOj&

g(x) - xT A'x - 2b'TX + c' (2.60)

~Ff~ n X 1 :*.;: x ~.m:/J,{tr~;@I • .dty~, A' :te-1-~JEn:: 11 X n !€I)$ ~b' :l! ~ n X I *;!;, c' ~~** •. ~1n~ ffl$lJFjlJ0:;ct [Graybill. 1976]:

axTA' .. _ 2A'x

ax

8b'TX , a-x-=b

~~ a%x *jf;~m~t~T x a9W!!t(M!.3:JM 2.15) • .R~ A' ~xt~~, # .ll:lt~F i£j£ttJ, !il1j (2.61) it.litil:. 4t (2.60) :a:;cj:lIB$m:~~ ~#;fIJm (2.61) A~ 1lWiiJ*1:H lI: atr

.

(2.61 )

(2.62 )

(2.63)

-'

tt~,~n* A' ~$lE1E~,!Jl1J~rb'fi!iro#;B:, @~Ji!:Ill-~. ~1-~i~t't-J~--rli:~ruz}ij

~)j(;JJn~~;J\=~~~ ,

g(x) .... (b - AX)TR-l(b - Ax) (1.64) ,

tmt.VJ,1t, :1t $' A :f! m > n I¥.JfFijJf'.k m X n ~Ii$, b £ m X 1 ~., x ~ 11 X 1 9c ., R ~JE)E~J m x m9l!li*. Jltf g(x), fPlt~ (2.62) :fI:l (2.63) ~,BJ~

Xo - (A1R-IA)-lATR-I.b

(2.65)

g(xo} .... bTR-lb - bTR-1A(ATR-1Ar[ATR~jb (2.66)

51 -1.roo , ~1fTj:iJ kJ, m TI;&?f;: gX; !nfF$ P:; 1?l>1t g( x) A9N tj\ til:

gex) - (b - AKoYR -l(b - Axo) + (x - x~)1 ArR -IA(x ~ Xo)' ~ (2.67)

;i!:t:f:t Xo EB (2.65) 5:\~tl:l. m=~~IEJE1.E~~=~~. (R nrlE;E~, ~Jit R-' i:!1~ JEj£i¥J. ffi:Xl A ~nIJl~~I)$, ml{). ATR-~A 1B~lE'j£~.) El3TA$m:=J:!li~~Fm.J¥J, ~ - Jfiix.::f * t.tii T ][, ~ Jlt ~ x - x~ Jf,j', PEl Wl:lf if& rHR.

Too~~~~~-~~~.~~~~*~m~

g(x) .... xHA'. - b'HX - xHb" + c' (2.68)

Jr-;;tNA\1tl'iiJii!. Ji;q:. x Xl n X 1 ~*fi:, A' ~1- n X rJ llili~ ffi~, b' ;!! n X 1 l[ ~M, c' ;l!~;fii;:It. :X1T;:J<:tlH1Vjvta,4r g(x) x-Jr :II; a9~Wfl:lJ1UliHtJW~~T:?j,~

~

• 12 •

'-.

~"'<'·IM ... +,,,,,,, _ ..... ..,."....,.... - _._._~_.-

-,--------~-

_. _ ... __ --_ ... - .. -.-- ..... -~~ .. ---

ag(x) _ 8g(x) __ 0

orR OXt

ag(x) _ ag(x) + i 8g(x) (2.69)

f)x aXR BXI

~~1,.gt~Gl.~;j\1Jf£ggfl~m:. tm*~~lt/9*, ~5.z.X:t x B9~$;fI:lm:ifflll!l~lr£.3.iH!t. ~T~,&::L #1,&. ~1r ,J.t1iTij~ lIEll}KlA!.):j Jj 2.16)

oxHA';x: == zA'x

ax

8(xiIb' + b'HX )

. - 2b'

OX

i!JE~ (2.61) ::t:;ag][~%:i\.. i1~ xllA'x ~ xHb' + b'HX W~ 4 A9~m~. ~*~;A;i'iJ8ill:fJ g(x) mJt1il/J\1t~ ~

(2.70)

iflJJfBk

(2.71 )

g(XD) -= c' - b'HA'-lb' x-JTll~m, 1±ttltR:S:Jj-·-=~rpJ fimi..t, ~*~

g(x) - (b ~ AX)RR-'(b - Ax) (2.73)

t.lVl,{t. ;tt * A :f! m > n ® m x n ~:i.1B])$ ,it J!H::l1J,Jr9dt-J. b J!m x 1 *-~~I.t, x ;l! n X I §t ~~Ji, R £m x m§!Ut1EJE~W. JHi3:j:mi 7f g(x), it ~U ffl (2.71) :fU (2.72) P;;1'lJ~*fij.~. ~-1Joo, im*~~'1.ffi (2.70) ~** (2;73) V:;~Y.:~1t, "i:iHi

(2.72)

- ft_gt:) - 2AI1R-!(Ax - b) . it 4''i?;~T~,NUf&JJ'\ftM;.9

(2.74)

(2.75)

g(x~) .... bliR -'b - bHR -lA(AHR -IA)-IAl:IR-lb (2.76)

~* g(x) atFm/j\ft]'5]~, :JXfnili1iJlJ.~ g(x) ~7f:;JVG:tmT%p:;(m >J m 2.17):

gex) 11:= (b - AXo)HR -'(b - Axo) + ex ~ xo)HA lIR -14(x - .xo) (2.77)

;W_:r:j:l x, E8 (2.75) :5:!%tI:l. R - I tE~'xnH~l¥J-:f1ti!f!f~fj\fUG,T;I!J).. (2.73) P:fi

.. 1 " /2

g(x) = (b - AX)H(b - Ax) = L: 1 b, - ~ ~iiXi

'-1 r-t

~7~t 1:; tt gex) flt/j\.1t tf\tfiTRJrJ.~~~Ft~T~. EB (2.74) Am~tI:I;iti!f£

(2.78) ,

• Z3 ~

-_ .. ----

C .. ntOD1. A." !_Ind P. Butler. '"EigeDvalues and Eigenvector! oi Symmeuic C~ntro$Yil'lmetfic Mattice.", LA"((Jr AI,ebra Appl .. Vol. 13, pp. 2.75- 288, Mar. 1976 •

.onlV. R. M., "Toep l irs and Circulant Matrices: A Review", Tech. Rep. 65'02-1, Information SY5temi

Labot<lt'HY, Stllnf'Hd Un iver s itv , June 1971.

,Grl<ybilL F. A .• Tlleory and Applir:lltion of rht Lin e ar Model, Duxbury Preu, Belmanr, CalH •• 1976. H.'lhn, F." E., Ell!melltar"j M at r i x A/gebr Il, Macmillan, New York, 1971 •

• La.WSOD, C. L .. and R. J. Hanson, Soluing L~lut-Sq~aTcs Probll:ml. Prentice-Hall, Englewood Cliffs' N. J •• 1974.

"Marcus, M., Besl« TAeOflHnJ i~ Mtluix The-or." National Bureau of Standards, Applied Math. Set. 57, JAn. 22, 1960.

Noble, B., anJ. J. W. Daniel, Applied Linear Algehra. Prentice-Hall, Englewood Cliffs, N. J., 1977. Oppenheim, A. V., and R. W. S!;hahr, Digi.al Sjt1l~1 P"~~etsil1g, Pr enr ice-Hal.l, Englewood CIiEh.

N. J., 1975.

:s:;J Ii

2.1 nEw:J-r= j§~ll$~ ~~WiIJ~ r=ftl1:§lI$. mff;;: :flJffl (2. 30) ~<>

2.2 UE~IDHe~·I¥-J.fi'ftl71j~iE~(t;J,tm (2. 21) ~FJTjf;.

Z.3 HEIl"ij (2. 22) P:~t±:Il¥J¥f;~1t DFT ;£1l$:lE 1m ~~.

2.4 + F ;;t m X n i'iIJl~~WI' (m >n), s' .1ik m X 1 9c1:, ,. ~ m X I *:R.. ilEWUi.tt~~ y ... F(FHF)-IFH,;

£t1f'F:fflH::%'- s ~~¥tlrn F a97u~utIBT~ra.Jl:. ~j}U'&,YlI* {f.,/u- .. ,f,!} :f! F (j{JJiJ,. UE M

ell. ...:. y)Hf, = 0, j = 1,2, ..• ,11 ~ft~ F(FHF)-'F" £'WiJe:5~~Il$?

2.5 \1£00 (2. 27) Ara-tl:IlB1f]l$~WlJ:i:~II$.

2,6 tm* A ftl B ~Xl n )( 11 ~~{f.*~~~,#li A _ B R:!*iE~a~hiIEI!IlTp:'pjG1l::

[A];i ;;;"[B]u,i = 1,2, ..• , ~

[ I _" Q'l

A = ~1J I -u

<i ._- ~ l

otr im )8 ~ , it i~ 00 '"t ~ Wf*- ® ftl r- Jt ~ ttl.

2.8 i&1ffiUU!oc:ttI ffittlm m (Woodbury) m~:J:.t,:J::.h EB (2. 7) ~~t:lHf.J rI X n J~VJ~*fi¥:~~ R ®il!

ffill$. agrBJ [- ;,; - 1] en Xr~~);fn [- .;- 1 ,11;- 1] (n fi~n)J:~m: 1.,1. ~

ff:~S':l f:ll f I = kJ~, t 1 = 1111 i3: ~f$ ffH£ ,jtr:j:t k;fn I J{l(~;jU~~ IoJ.t.

2.51 taJ* m";;"., tiElY1 n x "'. M,5;1j_ll$

..

A = .L: d,uju1

1~1

£t:J~~T m, ttttJ u., :l£~ftI:.::t.:;flt;;tttJ n )C I i!*:i:. do ~~.iEn. tnr* ,;s >11, 't:ii¥:l l1.:Rdt £.1

2.10 tJn:m. A. ~ n )( 11 !liE5.E1.§~, B. £". X II ~tkMJ:{?~$,il;Eil)j BASH Aif:iFl'R.

2 .11 ;jt~ (2.27) ;a:~tI::\ a9 illf'?:a~~~ru:m..

9 24 •

""--- -"--"--"~----------- --""

..----~~_.... ..... ~

1. l2 'I[!jJ.J 1ft 1F~wr;!t;?Hi¥a1 EB (2.53) .¥ (2.:5S) j:U€tHHE~):t, #ftlJt.i 7!:J!:t;~it~ 51M 2.1 qt€ii~ a9WJi$ rr~ ~.

:l.1J ?!1~Ell1i~f~l%flJiE~~~Z;fo

*ttHilHIi!! {z[O],z[ I], ... ,x[N - t 1} tr.J1~e. ;!tq.:li1lW;Et!S!Z'" ~:l:i£~~.f:t1lS A • .t *~~. f-tffTiiJl2Ue ~"A. ~ffMaJEJUE}j~m

r : UP(~bf.) 1 [1'] = [ :~~~ 1

:. <:1(p(i2nf:[N _ 1]) A. ~[N ', 11 j

ttritl. >Jt~1 fL ~ A. a'9~d\=~M. ~-ffii1EtE~l~ [ - ~ ,~ - 1] (N J;iHlf.():fO

[ - N ~ 1 ,N ~ 1 ] (N j;1ij-:~X)__t t. = k/ N. :ltr:J:l .t ~ ~F~~lt~ :i:tii*I~A • .:::.WHiI¥.

RlI: = -r

R = P pe,e~ + P,e,e{'

1l' = J',ezp(j2Jtt,)e, + f,exp(,t2Ji'~)el

.... ~djt 0..,e, f±L (2.27) J\J.i::3L. )W'it'{E lZ.1B] [- ;. ; - 1] (If ~ {Jqn:) Til [_ 11"; 1,

~] (110 jg~,tn.t f, ~ ~./ II, f~ .... 1/ n (k, I j;:~~~!l'Ot * -lr:; " x I tt~~ •• tt)t;

z .

ittOO R ,Ii1.;-1'-m*iE~ (11llJi' "> z), 1t£l1fX:B"$jijo1. ::ftl±'dmm~.Ij,~It"'. 1iffi: ~ ;ft &'/ .J-;', ell";; J2: R ~J:n.1f~f~t#tiE90JR, R ~Jt~!¥.J:M:{jf*:i:1fS;~1iEm. l'Hi~ fim%~~

.

.. = ~,e, + 1;,8, + ~ ';j"l

}trp ..,re, = G, el'e, ... 0, i - 3,4, ••• ,1'1", #X'.t gut. >.it". '2. l!i liEM re (2,61 ) :d:~ t±H8 =~~;fU#{N.rut¥-J$lt~1}:t:.

2 • I 6 tiE IlJhl=l (2. 70) j\; t%~1HE:It ff,* *HtH',l ~i't ~ rm;i_ f$N l't.l0 :t.. m ff;:: re 9@ ~ltl *:1: it Kif Jit~ ml:f{l)t:$: :K = sit + js" A' = AI! + jAr, b' = hi: + ibt. 11=f1:l3 (t. 61) :J:t~liia9~hi:ti. gmftit~A'1-t~i:l:~~J Ai "" At., AT = -Ah (EI;t A' :&~fJ\*~tr~l).

2. 17 l1EIYjl1.:yJt$*~~~,89~~-t-~k1s:r:t (2.77).

2.18 liEl!I3J!~jltf A -. A, + iA, (t.Ji2!~P$"ii}JfI~lt1fiti;:tt~: §$t;:;RmW

!

,. 2'J ..

-~--.---

ik1'-ffl'~CPS9~Jt.=£5f1Jmtk:l~H' ~rrt~~ (FFT) tt_ItmlFf;?lJ 1'[ n] l¥.J~itllm pt~~ (DFT) X[.U. DFT ~){.:XJ

X[kJ

'± x [n] exp (- n.:n-kn), k. = 0, I , ••• ,N - I

"=(1 N

N·-j

x[n] - _!_ ~ X[k] exp (i_2n:kn), n v= 0,1, ... ,N - 1

N t=o \ N

S UBROUTI NEFFT( x, M, INV RS)

c

C This prognm computes rhe bst Fourier tunsfofm of C an arrll)' of c cmp'lea data using " decilnildQn-ln-tim~

C FFT See Oppenheim and Schafer [U15] for further details.

C

c c c

X M

-Co mpl ex array of di mensi on 2 * * M x 1 of dan lII,mpl ..

-Power of two fot FFT size

C INVRS -Set equal to: 1 for forward Fourier transform

C -I for i nve r se Four ie r transform

c

C OU.tPlll Paumeteu:

c c c c

x

-ColllpleJ: artay of dj me ns ion 2 * * M X I of Fourier uandorm .. a l ue s

C Notes:

C

C The caU,ng p rog r a m must dimension the complex suay X

C greater than or equa l to i* *M x 1- 'I'he conap l e r arrlly Y [llu.i

C be dimensioned g reare r than or equal [0 2 * *" M X 1.

c

C VeriHe.tioD. TeM ClIoe,

c

c If M = 3, INVRS = 1, aDd

C XCi) = X(5) =" (1. ,0.)

C X(l) = X(6) (0. ,1.)

C X(3) = X(1) (-l.~O.)

• 26 •

\._

" ... , <. :< ....... ~ >+1,., ... - .. ", ~.

..

...; X(4)=X(8)=(O.,-1.)

C then the OUtput should be

c

X(I) - (O.ooooo,O.OOOOD) X(z) = (0.00000,0.00000)

X(J) ~ (~.oOOrO,-1.704I14SE··07) X(4) = (O.OOOOO,O.OOOOD)

c

c c

C for a DEC VAX 11/180.

C

COMPLEX X(I), Y(l* *M),W,SAVE N = 2* * M

C PUt the dati r nt o bit reversed to r m

YO) = X(L) DO 20 1 = 2,N NUM ~ I ~ 1

.1 ~ 0

L~N

DO 10 K = 1,M L = L/2

IF(NVM. LT. L) 00 TO 10 J = J + 2:* * (K - 1)

NUM ~ NUM - L

CONTINUE

V(l) = :xC J + 1)

20 CONTINUE

10

C Begin computation nf PFT

PI = ... *ATAN(l.) LDF'T = I

NDFT = N

DO 50 K = I,M Ll)FT - 2: * LDFT tiDF'T = NDFT! 2

DO 40 [=1, NDPT DO 30 J = 1, LDFT /2

-c Determine twiddle factor

K(5) = (0.00000, X(6) = (0.00000,

0.00000) 0.00000)

X;(7) ~ (0.00000, 1. 74845E-07) XeS) - (O.DOOOD, . 0.00000)

ARG = -(Z.*Pl*INVRS)*(J -l.)/LDFT W = CMPLX(COS(ARG), 5IN(ARG»)

C Deteunine indice~ fot ne xt butterfly' to be compl1[e4

NP ~ J + LDFT*(I - 1) NQ = NP + LOl"T/2

C Compute butterfly fOJ the lth DFT III ~tage K

SAVE = Y(NP) + W* Y(NQ) Y(N()) = Y(NP) -W*Y(NQ)

30 Y(NP) - SAVE

• 'l1 ~

._-_ __ .. - '_". __ .. __ '"." _ _ _../

40 CONTINUE

50 CONTINUE

C Divide IITray valuea by N i£ inveue FFT desired

DO 60 1= 1',N

IF (lNVRS. EQ.I) XcI) == rei)

60 IF(JNVRS.EQ. -1) XCI) - Y(l)/N RETURN

END

SUBROUTINE CHOLESKY (.A, B, N, EPS, IFLAG)

C Thi~ pr og r a m &ol'lU II hermilla.D. p'H.iti,,~ definite &~t of

C (:t)mple): linear ai mu'lta neous equ ati o n s using the Chole$k:r

C dec ompoait io n method. See 0.53)-0.55).

C

c c

AX = B

C Input Parameters:

c

eN-Order of tb" matti% (number -of l i ne a r eql.latiolll)

C EPS -Small po.hive number to test for i11-

c conditio !ling of m.atrix A.

C A -Colllplex array of dime nsrcn 1'1 * (N + 1)/2 of mill Tix

c c c c c c c

C OUtput Par e.mete r se

elementl nored columnwi,,, for upper triilD.8ula.r part. i.e •• /i.(I,I) &tOled III A(I), '-\(1,2) 'stored AI A(~), AC2~2) stored u A(3), etc. (The lower uiangu1r.r jlart i, found by he rm it i an .ymwetfy.)

-CompLex array of dimension N X I of right-balld-$ide vector elemenu

B

c

c IFLAG -Hf-condi rl cni ng indicator

c c C C

C C

o fOJ normal program tenninati()!1

hf o ae of the di', is len than EPS

8

causi ng premature termination

-Complex array of dimen.ion !II X I containing 101utioa X veccor stored ill place of B OD OUtput

C Notes:

.. 1& •

-----" - .... "_-- .'_-----'----

'" T--C ---_--- '-"--

C The <;lllling pfogram mau dimension Hrays A,B. The: orny~

C XL', Y. D must be d irueusj oued g r e are t ~h;j.1l OJ equ al to th. ".rillble:

C dime nsl ou s $hQwn.

c

C Verifj~ali()D Tett Cast:

c

C If ACt) -= (2.,0.-)t A(1) = (-1.,-1.), A(3) - (%.,0.), B(t) - (1.,-1.),

C 8(2) ,.:: (0. ~O.)~ N"" 2; an d EPS - 1.0E-15, then the OUtpUt .hould be

C B(l) -= (0. '9999, -I), 99!l9P)

C B(2) - (0.&0000,--&.99999)

C fFLAG - 0

c for a DEC VAX HinD.

e

COMPLEX A(l),B(l), _XL(N, N)~ YeN) DIMENSION D(~)

C Factor into tc1sngdar lind dia.gon&l forJl1 (2. 5S)

lFLAG _ Q

DO) .- REAL(A(L»

DO 401 - :Z,N

DO 20 J - 1,1 - 1 L=L+l

XL(I,J) ... CONJG(A(L »)/D(J) JF(J.EQ, i) GO TO 2:0

DO 10 K l~J - 1

10 XL(I,.J) XL(I,J) ~ XL(l,K)* CONJG(XL(J,K»)*D(K)/D(I)

aD CONTINUE

L ... L+l

0(1) REAL(A.(L)

DO 30 - K "'" 1, [- 1

30 D(1) - 0(1) - D(K)* CABS(XL(I,K»)* *" 2

C Test for non-positive value o£ di

IP(D(I).GT . EPS) GO TO 40 IFLAG.- -J

RETURN

40 CONTINUE

C Soh-e for intermediate column veCtor sorut i on (2.53)

Y(l) =-0 B(l)

DO 60 K - 2,N Y(K) = 8(K)

DO 50 J ~ 1,K - 1

SO Y(E.) - Y(K) - XL(K.,J)* Y(J)

60 CONTINUE

.... 2 ...

---_._, _. -.".---~-

-~~~.-.----.

• II,.

'- ._ . ...,., ' ........... ~.- "",.... ..... -~'

C Solve for final f.olumn vector lolutiop (2.54)

BeN) - Y(N)/D(N)

DO 81} K - N - 1,1,-1 B(K) - Y(K)/U(K)

DO 71} J - It. + l~N

70 "B(K) - BeK) - CONJG(XL(J,K))*B(J)

80 CONTINUE.

RETURN END

-----------------'----=---. ~~-- .. - .. ~~~

•• ..- .' ••• ~~'~.---~.' ...... to:"'.;j:!. ...

3.1 51

.2.~~.*~.~.~~.~&ti~mMfi~~B£~7~®7 •. ~~-.~ ft~.~~~~3~~~OO.~~Mffl,_~ •• ~~~~Yfi~*~3~~~ .• ~. ~ Papoul is [1965] *T.$ff?:1b[@fJLtiml¥J*f4~~& Kendall :fQ Stuart [1977,1 * T#ttt~Bg1fff •

3.2~1 ~1II~!f.

t21IH~jfHr.]~nH1L~fi:#Ht*l~(8~~Ht~wr2t;ffiatJ.$~~~rr (PDF), :{m * ~ ~tiL¥. it 1¥.J.$itfllPB~~

p(:I:) ~--~l-- exp r - _l_ (~-= __E_L YJ, -00 < x < 00 0.1)

../21(0. 2 o ,

!illj tj\_% :@~~~ e~ JJli:1J u! gg/t!bWiCJ:itiE;t;}fr:ffi. im1lrfrJmmHtia~ r-- N(p.~. o'~) **7.R. ;It¢-~ "ITVJ,7.t;fjJ" ag •. {t!.. QJ:mIH:~~~~-m~[@m4tii&i{;~!im 9S fl x -= [r.r~·· . x'N_,F, l*:~~!HJl9C.I¥:Jjig)l;{J

r3'(x) = p.~

.£1 (x - p,)(x -'- p..)T] =:II C ... ~ ff $ ]I; ~ Wi f!t ~q~; fit ru ~

p(x) ~ (£;)Nl-id~tlll(C~:) exp [- + (x - Pr)TC;~(x- - P,JJ (l2)

rig e..., i::N X_N~I4,__§_ [CouJo -= tff{[.t'; - d'(z')Hxj - ..s'(:ri)1}. tm* c ... ;l!X1 1t_~~.lilIJrmt1L~.R:~~~E8. ffi3:~t!!i~ -"F ,(322k~ Sj-Nf.j9 El3 0-1) ~~PX:tr9 N-t~4t. PDF F19~fR. ffilltllJfaJL1eitfu~~TI:S9. tm* x H:.;ltJ-fij. !J1UitjM-~ir9f!gt$

_____ L_

~it •. *!mJ:,ggM-?E~ •

~(r;rj%~%,) = $'(xix;)4(x~:tl) + C(xi:r~)df(rjxl) + ,ff(Xi.t'J)<S(XjXt) tm* x Ef-J~t15t1A 7t'

y-=Ax+b

p:;rp A :J!N X N~tL b JtN X 1!iLlll~ _U~RM$~~Nf;t:m- .!i1i

- - t8_(y) """ Po, ~. + b (3-3)

(3.4)

• 31 •

~~ A £~jjIHHm~.t::PJfIB*mffi*DlZB{t x ttS5G#. frn*-F~ptJL IDJI..f'"~ t:Ht;

ACuAT """ D (3.5)

~¢ D .lkJtifl UB iE(fJXi,iij ~$$. ~!$J: ,#tE.nt~~WJ¥J~j)$. J,J.. 2.7 'fn1i~fO ~H~ wr i£)-} iiR ~ 1fl it WI ~~ t4 flJ. ~ mJtir tt?1 ffI!f re -1'- Sf'- :15lE JE ~ ~ C"," fr M ~ -

(3.6)

1tr+1 L ~±.>u-.m~:XJ 1 SJ~ __:::Jij 9fi1l$. tt~(3.6):tIJ(3.5)~PJj(j_l[ili, A - L -1, B"{T; M: T :::: jftI§ fi1; • f51.dt iii

- y = L-lx + b.

Hr{i~~-m3!il.:rr :~JWT~tJt*.i _m}j~ 3.1) •

...----

~1'":fntH8 PDP ~ X2 5-}Jti. BR::83~WT?71P1t~t:B1Ht9. ~tl* x ~m~lz:a9~

-:frl1jBtJli.ilHrl..3tmjilpxe9,aVr~iir'8?t:ffi:XJ Xi - N(O,l),; .... 0,1."· ·,N - 1, my

--~~--~--

N-l

Y =- ~ x~,...,. X~

" ~

_ull X~ ~;if.\1-f N ~ ~HBJ'fUf9 Xl J%:m~iI:,;ft PDP :X; [ !J! 3j m 3.2]

{' I - N/2-1 ( Y ) -.. 0

p(y) =' Z'Nl.r(N / 2) y exp - i ' Y ~

0, ,1<0

jt¢ f1,u) H::lml~tR tr. y i¥J:!$j~fUtf~)Hjljj!

e,:__ -_

(3.7)

(3.8)

',' var(y)--2N·

jO, )' < 0

, cP(y) = .y

J. pC s )~;, y ~ 0

(3.9),

( y ) Nf2-1 ( ( ).t

1 - exp _ _ ~ y J 2 ,

2 .t-o kl ,

- /2 r'" ( rl )

I;l) (y) ..... F - -y --;; J v~ exp - 2' at

i (N-l}/l

- ~exp(~- 2'_ j :E __!L (2y )~-1/1, N )J"*~

..j~ - 2 ~-1 C2k)r. '

CDF 5(1T~.I!l;;w.i9:~~ra]~Jl::ff JHS9. /j(~ ~ ~J.tJtl CDP *~lJ.J.J.. Abramowitz :f4:l

,

Stegen[ 1966] a9*f'F¢1!t.¥~.

3.2.2 lUl:m.~:I:

~3Ui1HJL:tt:l: :c -= 11 + jv t!!~St!l.JE;%'~WT PDF, ~~ u;fQ v m:il~tm. i9: u .f!:lll £d!k TI:ttJ .ll)j 1P ~

.- (1)

': ...... N, ...... N ~ ", ;"

... 32 •

--- _._-------- --------_ .. ,--------'---_._---_._--

,----

--~---- ~---.--,--

'-,

, 1 )

,:~.J ~

. ,s(x) .... S(u) + jrff(u) ~ P-u +jp.. = p."

var(x) '= tJ'[I(u+ ;v) - (#.+ j,.,:.)IZ]

~ '. ...

== rff[(~ - ?,.Yl + -ff[(v - ",,,)21 ..... !T~

(3.10)

A.l:p ,""It ~ ~ ag:Jtj1§, 11! J! x a'9jJ~. i±~L1fil1~~}fHq;~ r\ ..... C N( It" ,U;). , X>jyJ:

JliatJL~ii, f1Jl?l~~ $- JGIt*J}:ffi"wf{ [Goodman. 19631. tl.o* x ....;. d + IV ~~iS:7f1

.

p"" FJJ.15 2t 1€. ~)9

.'

t8'[(x - 'p~)(x ~ p~)H) = Cn (3.11)

"

t8~!lmfJL~:t, JQUt£-r=j£A¥d*T x ~[iMJt$ JC~wr7.H'ij; a f{] v fliJ)..~~~~5G~

r- - . ._;.,_;_

mf:5t:ffi", J3.~~:I;: [UTVT F ~fftJJ.1J~~.15$

~Iff[ (u - ", .. )(u - p.)T] ..8[(u - 1',,)( v - p .. )T]] 1 [£ -F]

~rB'[(~ - f1.)(u - ",,,)T] £'[(v - ", .. )(v - p.)T] -"""2 f . E (3.12)

Jtq:.~F. rrJZ1'-~f4 f. tmW:~ eu = £.-1:- if. !lltl ,PDF .7]

(3.1-3)

--

'1B ~Jk), )j-lII!1pX;=.Ilfl-';l:E*~.L:fQ [Reed, 1962~ Goodman, 19631 •

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3.3.1 "li!1!JUlt

tEr OOagMitr:p~frJ¥H~5E, e ~E8~:f{W~ {r[O] ,%[1],' + + ~'%[N - IJ} *f~tt ~-~~ •• ,~~~~r.~.e •. ~~~~~~~~~~R~~~~.T. ~ •• 11 AA~ji:~jilli¥}fltt't.

• u ,.

. .

ftiit.mzA1f{~* A {f1m#~:ff (j{J ~~. ~ ~Iii.¢.i. N~*~. -~~I¥J{tjtt.!ijn&

~~ •• ~ •• ,~n~~~.~~-.~*. & •• ~~~#~.~~.~*,~«

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l;)t* Pr ~~It$. 8 ~--t/J\1EJ2:. *.:t5ltJ¥Jfi!itt:l!:~:I!-ff!:ftiit ,(3.14) Jtm~~

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MSE PJ~Jtt,-ffi'5tfi¥il~{iiitt1J ~fOM'ttit~~~ft:I, 1r

. MSE"'" 8{f8 - d'(B)]l} + {.6({)) - O}1

~ -l9!;;1!15 ~, ~ =J!ii H::1Iia £ ~ Sf Jj , •• 5Ex:.:XI

B (0) - ~(6) - fj (3.16),

'E;tt7fdi5i-t.l¥J¥i!HR£j.«Hr<J~. x-jfPJT~~ (J, "911* BCO) """' 0, iQaf~it.~:JCfM a9. tEj:S;f4!ilft£T ,Ksjj1iRttJ!1t?!J1.]~. ~mJU1J~.R1f1lj-m-PJl£.l~Y ttr-fl}lEC ~M~i&¥R.1rl2Sl:;- );lHJT;!ti!;f-HIii~ .@iILR~~ N~ ,. = ~~~~lPJfff ~. ~T~.~tt .IC.U:. ;g ~J( ftl!S * il5;l~:lE «€Hffil , .R 1::~{f1 ~ },'H~flsp. * fCt!~ ~.a9¥Jj.

m~{iiit.ag~~ar JtI~~~1:fi!. ft.ff]riJlCJ.~)E-1"lRfi3J( ti€~~Jt~~), 'E mg~.~A«~m.~~ •. ~~-~~~.~ •• ~~.~=~~~~Am.Nm

,; ... t.~ A

as! 0 ~~)J..iftJJi1t:tfi,~p (J,.... N(8.uf32), :fI.1 e B'-J~:l:m~mtM X2 1};(fJ,&p "e/8", X!.

:f£~--,*mlJLr. lOO( I - u) % "ffil&f~l11: -

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z(a) ~ N(O,I) ttJ CDF 1{'lai35t"#IM'at1~,~

Pr{Z ~ sea)} ... II

_ittj:t Z -- N(O, 1). ~T~=fft~N., ] on( 1 - a)% .Wfffra]~

( ufJ ,,8 .)

X!(l - a/2}' X!(a!2)

7.!!i X~(a);G!:: x! a9 CDF IN.a"[:iJtAIt-IB9ifl,!Jl·

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r

var( 8) ~ 1 0.17)

«f[(a Inp(x;6)/ aey]

~m p(x;fl) ~M:l!E3 6114 ~ritl x $9 PDF ~~. (3.17) p.:tf:ttJ9:fr-HJ:j!:tE~tt e ~r-r .. mJ1l!tftH"1b. J!/dJii5~. (3.17) lt~5t£}ilf~EBT71J*~P:tt.;

8 [(B lnp(x;O) )1] _ -8 [[)Zlnp(X;O)]

, Be· . 8Q2

(l.U)

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(") ...,., . (atL afJ)l

Vdf\g ~ .

~[alnp(x;8)/ae)2] .

~r P x 1 ~.~~,CR WIfB, m c, ~5f;Er9 fJ l~tj'Fb<1J~;eJS$~:!iHt Ii' *~J!t;;, it~~~7b

Co ~ Isl (3.19)-

m"~":ro:-i5£t~&:l!lf!~ C& - Iii ~*1EJE~ ... III :lik{£ (j S91U~5tHtJUm. *filU~,J;J T*-lE JE?-E~ ~ jt:xt~ J1;~~lk~FfftB1; :ib~,*~

var(8,) ~ [1;lL. , ... l.l.·'-.P 18 ;ff,~.~iHF (Fisher) mt.mll$. )E5!.~

l~ -= rff f(aln~~X;e»)(alD~~X_;_!J2r]

(3.20)

(3.21 )

P:;t:p a 1n p(x;8)/ BO ~ lnp(xjO) X>t 8 ~~tr. -m:m-${§ ,~1€W-i>a9~ [i .i) 1'5G.£

, [' i, -== rK fa 1n p(x; 6) a lnp(x;8) jl - -.« [a2lnp(x;6) J' (3.22).

~ . a~ a~ - . a~a~

~{i!iH:l:a9tJ>15~9fH~$ffi 181 ~ili. !Qtl~ftittt:m:1f~!Y-J.

:!lll* 8 a9*.~J& g(9) ~~fi5tt~. ~tt£@' s fE P X l~:fi 8 ~!#;IJ r X 1 *_ g(6), JilIJ CR ~:i;

c, ~ ~lil<;9T

r9 ::I:~~(8 r x P ~\i}~!ee~. it _§_j£)(_)§

[91].- -= agJ8) " 8e,

I

(3.23)

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. ~------------

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l. x1i~. 8[6 J -- 8; 2.liRtetl, Co -- 191;

3. *~~1tJf.J-

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3.3.2 • ~ e1J #i i.traJ II

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x=He+~ 0.24)

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, ~

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n-NQ"ZN 0": .

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•.. S - (lI: - He)H(~ - H8) (3.26)

s ~~~~{,*~~~.1f J!ci~-jl'"&IJ\f1i( ffl5E H J!frlijf;kI¥9). ){J7~ s -t&!~\. OJtEB

~$;(.~~~~ 2.8) ~ < <

A ft

S ~ (X - H8)"(x --c- He) + (0 - &lIHHH(8 _. 8) (3.27)

(3.25)

6 = (HfiH)-IHHX (3.28)

EEl f1§~ HHH £iE5E!¥J. ~llt(3'.27)~¢C8~ ~_J!ij~F:ffi.. 1Z'3:*J~-Jffi!§ 8 7C~, !il~~

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SUIN - [x - H(H"H)-~HHX]Hlx - H(HffH)-'H~xl .

~ xH[1 - H(HUH)-'HIi]X (3.29)

lZlXJ9{!!)$ 1- H(HflH)-lHl1 £.~1E~. 0; IY:J MLE '~J ffl tt(3.25)~xt o~ it~U;fi*

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-Goodm an, N. R., "Sutluica! Ana.1y~is Based oil a Certain Multivarijl.te Compie.· Distribution", A"n. AltItA. Stat;rL. Vol, 34, pp. l'H-157. Mar, 1963.

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f! a pou lj s, A" P,oblibilily, RtJtltlom VariafJler, at1d, Staciau!e PrGe'Hrer, McGraw-Hill, New Y:)tt, 19&5.

li.e~d, 1. S .. ~On ,\I Moment Theorem for Cempie r Gaus s ian Prcceeses", IEEE T'Qfll, ltlf. Th'ory, VoL ITS, Apr. i962.

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: 4 2M 2

W (I) ... W BU) :.,. l( Si~1Cf M ).

M 5!lllIf

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0.54 + O."6cm -~ Ikl,.,;;M 2M

w[O ~ M I'·

+ O.23W if (f + 2M! )

0, ,kl >M

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( 4.l9)

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• S8 •

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N

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( 4.23)

t,--M

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Blonmf Ie ld, P., Fourier Anal,sis of TI'mt S~rits: An l nt r o d u ct ian , Wiley. Ne'w York. 1976.

Ha.nh. F. J., "On. the Ua e ,of Window, for Ha r m en ic Analnis with the Dj sc r er e Fourier Tua ... iorm". Proe, IEBB, Vol. 66, pp. 51-83, Jan. l!na.

• 70. •

JeDkin~, G. M., and O. G, W~tu. Sp~ctraJ Analysis an d I t« Applica~"()"'J. He lden-Day , San F .. anc isco,

1968.

Koop mans. L. H., TAt Spte".lIl AlIlIlys'$ 11/ Time Series, Academic: Prell, New York, _ 1974,

Marplt, S. L., Jr., Digi,r,z Spet:,.,.al ~b(JJysis. Prentice-Hall. Englewood Cliffs, N. J .. 1987. Schuster, A., "On the Investigation of Hidden Per iodicu ie s with Appl ic aric n to a Supposed 26 Day Period of Meteorological Phenomena." ~t!'rr. MaIn •• Vol. 3, pp. b.-H, Mar.- 18'8.

Thomson, D. J., "Spectrum Es r i m a.tj.o n Technrque s for Charllf;terization and Developme ae of WT4 Waveguide~I", BeU Syu. Tech. J .. Vol. 56, pp. 176!1~181~, Nov. un.

Welch. P. D •. "The Use of Fast Four ie r Trll!u form fo r Es ri m at i on of Power Spectra: A Method Based OlD Time Aveuging over Short. Modified Per ic dog ram s ", IEEE Tuns. Arld;G EIUlrl}lIc(Jrln., Vol. AUl::i, ,pp. 70-73, June 1967.

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(4A.I)

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""" p; .. (j) [1 + (~.21rNf YJ (04A.2)

].~ SIn 21(f .

STJd. illaJj. ){j-1fW~~ B ii~, 7-t~l2.*~!K'(E_ ~*. i:\ (4A.l) fQ (4A.2) 5:'t-tB:lIklfrfVLiE !iffiffJ •

:tf:l!-t-~.J3Jttj:J:m~ l±:iX1T~~~:bt~ BT ilfiiit~ ~ 1mi £.f:O:n ~ [Jenkin and Watt, 1968]. lE~rlro(4_22);rt~lfHI9, BT tt{i!li-t~I¥.J5E_>(_~

N-~ ]

Pn(f) ~ 2: wU:]f •• [k1exp(-j21rf~) ~ ~{w[~Jr",,[.t_]}

~-~OV-1J

• 73 •

.. ..._._..... ............. -I---~-.~--. -.~--- , . " ._.

~Xl $T V",,[k}} iEYl~mMOO ,f)TU

PaT(f) = [Ill W(j - g)PpI!IlC§)ds J -112

(4B.I)

rl/2

G[JiUT(f)] - J-In W(t - n8[p1EllCn]'~

~T*12~f£~tt., PJ~

~[l\T(f)] ~ J:12 W(I - np u(€)tlg :i~JEE§~ ~ N~CX)1f1 mlWlOO~x1iij@I _ffi( 4.1)JtJ.

jj£!E~~-8 NijMOOag§li*~Wf§*. ~~~J:l:J :fEm~ 4A 41 e~iIEWJ COY [l'Pl!I(j!) ,"'pn(i2)

.

= P (/)P (I) [f ~Nn(fl + tJ.)! + (!!!nN'K(fl - /;»)i] ("'B.2)

." 1 "" 1 \N sin 1I:(f1 + 1:1) \N sin. 'K(fl - 11)

;f~JH C 4B.l) :rtiiJ~ lli

var[Pn(f)] -= df' l U~:11 wei - OU'PEIlCE) - ~[l'pEJ.(n]] rl

- [:12 r:!2 wei - OWCf - v )COV[l'PEilCg),PPBk(V )]d~d. ~T*tc~fJ:1i, E8 (4B.2) ~~~±HErjj~I?iJIJj!i1tl:X1(:c\r:p aCt) £~:lJLR: s w~) cov[ppu(f.), Ppu.(f.)] = P n(tl)P ,n(ta) [8Ct, + jJ,) + aC/, - fl)]

N

3Z~E§;g

. .!. ( sin N "t )2

N -sin 1tf

:f!E.*f'J*fiJtt9f.tmJJ-l·~~. ~ N--",oofM, ~JiJT~rS9 n E:.*f%tJ~'ii~1l!*9lj wen] = 1. ~*~~Mm~~.~am. ~m~~~M.~~,~~~

var[l'..,_.(f)] ~ _!_ [[111 Wl(i -- ;)p~ .. (nds

N J-lf.!

+ .1::12 W(f - s)W(f + ~)P!,,(s)J; ]

:t!l * f T mill: TO" ± 1/2 J 1: :tt:Dffl ~ ¢t ftr J1; =.l_!ij !::1:Ji% ~ l.ffi ~ tj v, :l!: ~ I;§ ~ Sf *~ ~t~ W W(f - g) ~ W{f + s) 1l9_:EJlt~i7f;~~,mQ1.1:;1nag~~!it1ll/j\, JiJTU~=l9iI'iHJ~llift. g J~ , :tm JH~ JE PSD :fEit if ±., ~'M 1t!: r*ti!Sj1 7ft a9, ij~ 1" tE;f,Q :S1 * i.K:t; r.p P,,~ (;) -a:r t(1 ~fF;g~r Pu(f) ~-1"1t~,.}§~i

, r

var[1\T(f)] = P;/F(f) JlIa W2(g)Jg _ P!.(t) ± w2U]

N -1/2 N .I;-~Jf

SUBROUTINE PERlQDOGRAM (X, N, W, NEXP. PPER)

·.'4 ·

c

C This progfalD computes & data windowed periDdorram. For C the cue .,here no dllta windowing i. u.ted ,he periodQlram C i. given by (".2). The periodogram i. eyduated at the

C frequencies F .... -liz + (1 - 1 )/L whue I - 1,2,"', L. Tho Bamber C of hequuu,ies it giyen by .L .... 2 * * NEXP

C

C Input Paumllteu~

c c c

x

-COIllpte:.: array of diOleuioa Z * * NEXP X 1 with fint Nlocadotu containing tlse data points

-Numbef of do.u poiutt

-Ileal IIIr.Y of dimcnlioD N X 1 of data. wii.-dow weight.1

thl! wl!ighu W(1) .. W(%), ••• , W(N) should be

~ynlmetri(: about the potnt (N +- 1)/2. if DO windowiul " dedud. chen Aet W(I) - 1 for 1 - 1,2"'., N.

c c c c c

N W

C NEXP -Power of two whieh determines number tJf fr&qUf: nty

c c c c c

C PPER .Real array of ,dimen&ioll. L - z* *NEXP X I of .ample,

umplel desired, L ... 2* * NEXP mUlt be tho.en 10 thu L d greatc:t than or eQu.l to N

ld

c c c

I)f the pedodogrllm, where FrER( J) c.orn:.poud. to

the Ipeets"l luthnate lit the hcqucuey F - -1/2 + (I - l)/L

C E:&~erll.l Sn\! rout illI,.;

c c c

FFT

-see Appudill: ZA

C Noti!S-;

C

C The e.lling program inUit di.m~ndon the anay. X. W. PPER.

C The afray Y in PPT must be dimen4ioned greuer thall or

C e;qllal to Z**NEX',

C

C Verification To .. Cue:

c

G If the com pIn: d&t& teat C.'I! titted in Appcndiz lA it

c input lIS X, with N - H. W(l) - 1 for I - 1,1,.·. ,32 &D.d NIXP - t.

C then the Clutpur .hould be

C PPER(100) - 0.89216

C PPER.(200) - O.1S"!i}1I

. " .

c PPER(300) = 0.76762

C PPER(olOO) - 0.76'319

c PPER(500) - 1.35960

C for a DRC VAX 11/71:10.

C

C,OMi?LEX XCl)

DIMENSION W(I), PPE&(1)

C Window the datil

DO ]01 - l,N

10 XCI) - X(I)* W(I)

C Compute FFT of windo'wed da.ta

L ... 2* *NEXP

IF(L. EQ. N) GO TO 25

DO 20 1 - N + 1. L DO 2U I = N + 1, L

1e XCI) - (0.,0.)

15 INVR5 - 1

CALL FFT(X,NEXP, tNVRS)

c Compute ulDplel of periodograIll and ttan.po.e halnl of

c FFT output 00 f'hU fiut PSD sAmple i. at • fre;'qu.ucy of -1/2 DO 30 1_ 1,L/z

PPER(I .... LIz) - (CABS(X(I))* * 2)/N

30 PPER(I) - (CABS(X(I + L/Z)* * z)/N RETURN

END

SUBROUTINE CORRELATlON(N ~LAG,MQDE,X, Y ,R)

C This program computes either thfl unbiased Or biued cOPlple:.:

C correlation estimues between e.rray& X and Y of comple:!:: dat.

C &Ilmples. If X _ Y, then the estimate of the autol;orteladoll,

C rn [IL] fOJ k--O,l,· •• ,LAG -1, is computed (ue ~4.20))J other-wiN:

C 'he euimate of the crossenrretario n, nY[k] for k _ 0, I,· •• ,LAG - 1,

C b c omputed. If the: "roucotrcl"tion Utl,man 1& de s i re d lor

C Degllti'll'e iagl. then the relarion n:yt -kJ .... tYJ:[k_j*JIl.lIY be used

C (.ee(3.44». Hell.ee, the X and Y &rray~ need ouly be illle1"ch.ang~d C before callill' this program and thl: output clonl:orrl:iatioD

C .ample. GompleJ: c:onJaglited.

c

C Inpul P,uameteu;

c

C

N

. " .

. ..__-

------ ------- ----~--

C LJo G -Number of tonel.tiou •• m ples dc.iu:d

C MODE -Set- equs l to 0 for uub-l.ncl e"iD1 .. tt:J.~til.elwis.

c c c c

bi.nd enimatu ue computet!

-Comp\e;J: Array of d im e ns io n N)( of dAr", sam p le s

-CoDlplu .cta'!' of dimensIOn N X of" d;iO.ll! '"mplu

x y

C Output P .... ro.ctcu!

c c c

R

.Compln array or dimenlion NLAG )( 1 of c:ort~ladQ. uliUlate~ where R( 1),R(2),·.· ,R(LAG) corrupond •• r[Ohr[l), ••• ,r[LAG - I}

c

c

C Notes;

c

C The callillg prolrll.m must dimenlioA arra" X, Y ....

c

c

c "If N G; 5, LAG ~ 3, MODE - 1, aDd

C X(I) .... (l .. U.)Y(l) - (1.,1).)

c X(2) - (O .. 1.)Y(2) .... (-I..c.)

c X(3) - (-I .. 0.)Y(3) - (1..0.)

c X(4) - (O.,-1.)Y(4) - (-1 •• 0.)

c XeS) - (l .. O.)Y(5) - (1..0..)

C the n the outpUt should be

C &(1) - (0.10000.0.00000)

c 1.(2) - (0.00000.0.00000)

c . R(3) - (O.OOOOO,O.ZOOOO)

c for • DEC VAX l1/,sn.

c

COMPLEX X( I),>Y(I),R( 1).,SUM DO Ii) K ... O,LAG - 1

NK =- N - K

SUM - (0 •• 0.)

DO 10 J =- 1,NK

10 SUM - SUM + CONJG(X( J)* Y(J + K.) IF(MODE. EQ. 0) R(K + 1) - SUM/CN - ~) IF(MODti. NB.. 0) lI,.(K. + 1) - SUM/N

20 CONTINUE

RETURN END

.... - .... ---~-------~-

. " .

· " .

SUBROUTINE BLACKTUKEY (X, N, MODE, W, M. NEXP,. PBT) C 'This progr.m o::omputl:s the Bbo::ktnan-Tuk.cJ spectral estimator

C a. giveD by (4.23). Bithcr rho hiued or unbiased

C autocorrelation e st imaror m~y be used as well as " lag window. C 'fhe speetra.l estimate is eva\ua,[ed a,~ the frequencie~

C F =- -1/2 + (1 - l)/L lor J ... 1,2,··' ,L. The numbe r of frequenciu h C given .by L - 2 *" * NEXP.

C

C lpput ParaUletell:

C

c c c c c c c c c c c c

-C~HllplCl1: arra, of dimealioIl N x' I of data POiDU

-Nurnb~t o;)f data po mrs

-Set e'qu&\ to. zero for unbiaud l.utoc:orrelation

estimator, erherw i se , biased cnlmator used

-Real a.trBl of dimension 2M + I of lag window wdlht.~ W(l)~"'!lW(M + 1), •• ~,W(2M + 1) f;.(Iuupo:Qd

co w[ -Mh' .. ,w[O],.··,w[M].

-Laegest lag de. ired

-POWC'T of IWO which dererrm nes number of frequenc,

samples desired. L .... :I * * NEXP Dlun be chou'll so that L h gIea.~et thllou or equal '0 2 * M + 2

x

MODE

w

M NEXP

C OUlptn Patameton:

C

PDT

-Real a~ray of dime ns io u L ... 2* * NEXP X 1 of .alll.plea of the BtackQ:lu.-Tuk.ey IF~ct[.l euimate. where PST(l)

eor re s pcuds to the s pe c rra] euim.cc .' the

c c c c

C E:ue1oal SubroutiDe.~

fnqucucy F - -1/2 + (1- l)/L

c

c FFT -see Appeodis: 2A

C CORRELATION -lee APPolldis: 4D

C

c

C The c.1Hug program mUll dimension the ura)'. X. Vi. PBT.

e The array. R,ReORR., P must be dimensioned gre.ter thall

C or equal to the !l"&ri.ble diw.emioll shown. The aruJ Y

C ill PElT mun be diateDfillned greater thllJl. or equal to 2 * * NEXP.

c
c
c
, c
,
I c
,h
c
c
c
c
c
c
c
c Verifica,tion Test Ca~e:

If the com ple z data t~,n cu~ tisted in Appe1l.di1 lA il

input a~ X. with N = 32, MODE = LWeI) = L, -A8S(1 - 11.)/10.

lor I ... 1,2," ',21, ,M = to, and NEXP ~ 9, then tlle output should he PBT(100) = 1.54635

PBT(2oa) = 4. S'H161

PBT(300) "" 12.39030

PBT(400) = 1.47S74

PBT(500) = 4.95506

[nS" a. DEC VAX 11/731),

COMPLEX X(1), R(2 * * NEXP). RCORR(M + I) DIMENSION Wei), P(2 * * NEXP). PBT( t)

l'l ~ 4.*ATAN(1.j

C Compute the .au t ocor rel.s r iou e s t rm sa tcs horn the dll.ta

MI = M + 1

CALL CORRELATlON(N ,Ml >MODE,X,X~RCORR)

C Window the M + 1 aurocor rela rion esr ims res and insert the.

c

into) l as t M + I loc~tion~ of RCORR. Then, fill fint

•

c M points of RCORR array with t he complex co ntu gute of

C the last M poiuu (~hift a.utClconehti'lll sequence to

C the right by M samples on t ha t FFT !Day be u$ed)

R(Ml) "",W(Ml)*RCORR(l)

DO 10 I = I,M

R(Ml + I) = W(Ml + l)*R.CORR(1 + 1)

R(MI - 1) = W(MI - 1) *CONJG(RCORR(I + 1»

10

C Zero pad array of windowed autuccr rela t io n '.lIlplc$ to

C obtain an atuy of dimension equal Ot L

L ... 2* *NEXP

DO 20 I"" 2*M + 2,L

20 R(D = (0 .. 0.)

C Com-pute FFT of autcco rr e l at iun seque ue e

INVRS = 1

CALL FFT{R, NEXP, INVRS)

C Compe nsa re fOJ .hjfting the autocorrelation sequence to th~

C I:igb.t by M &aWplCS

DO 30 1 = 1 ~L

F = (1 - 1.)/L

ARG = 2.*PI*F*M

30 P(I) = REAL(R(I)* CEXP(CMPLX(o .. AKG»)

Co Trton$l'!Qsl; halves of FFT output .0 that first PSD umple it

· 1, •

· 11' •

C "t a frequency of -1/2

DO 40 I .... 1)L/2 PBTel + LIZ) .... pel)

40 PBT(I) - PO + LIt) RETURN

INP

.... _ .. _- .. _-_._- ... _-- .. _- --.~~--

.--~- .. ------

5.1 51

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.j 21r O'f 2 O'f 2

t'F ~ :ti ~L ~ in ,~J~ ~ JIIHi fa it r U" [ 0 ] fO O'tJ M rro fi5tt tli P S D ('W;E rTf !edlVl\~. J:iJT

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;(1.',.

p •• m

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~-- -- -- -- ..... ./

, ,~

, I

• 81 •

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5.2 M ~

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4 81 •

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I' • q

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(5.3)

• 83 ..

-.~-'-~--

"

d(.) ..... ~ a[kh,-t, .i:: AR X~~ It ~~

q

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(5.6)

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(5.11 )

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• 86 •