Translations:Least-squares prediction and smoothing/16/en

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The solution of the normal equations (equations 4) yields the filter coefficients. The square matrix in the normal equations has the autocorrelation coefficients arranged in Toeplitz form. That is, all the autocorrelation coefficients along any diagonal (the main diagonal or any subdiagonal) are the same. Because of this Toeplitz structure, the well-known Levinson algorithm can be used in the solution of the normal equations (Robinson and Treitel, 2000[1], p. 163-169).

  1. Robinson, E. A., and S. Treitel, 2000, Geophysical signal analysis: SEG.