SLIDE 12 2004 SP- Berlin Chen 12
Short-Term Analysis: Covariance Method
[ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] ( ) [ ]
∑ ∑ ∑ ∑
− − − = − = − = =
− + = − − = − − = ≤ ≤ ∀ = ⇒
i N i n m m N n m m N n m m m m p j m j
j i n x n x j n x i n x j n x i n x j i p i i j i a
1 1 1 1
, 1 , , , φ φ φ
j N-1+j i N-1+i
[ ]
j n xm −
[ ]
i n xm −
N-1 N-1
[ ] [ ]
P i i j i a
m P j m j
≤ ≤ ∀ =
∑
=
1 , , ,
1
φ φ
[ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ] [ ]⎥
⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎦ ⎤ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎣ ⎡ = ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎦ ⎤ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎣ ⎡ ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎥ ⎦ ⎤ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎢ ⎣ ⎡ , . . . , 2 , 1 . . . , ... 2 , 1 , . ... . . . ... . . . ... . . , 2 ... 2 , 2 1 , 2 , 1 ... 2 , 1 1 , 1
2 1
p a a a p p p p p p
m m m P m m m m m m m m m
φ φ φ φ φ φ φ φ φ φ φ φ
Not A Toeplitz Matrix:
symmetric and but not all elements
[ ] [ ] [ ]
p p
m m m
, ... 2 , 2 1 , 1 φ φ φ ≠ ≠
Take the derivative:
i m
a E ∂ ∂