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In the above example, we implemented essentially the covariance method
of LP directly (the autocorrelation estimate was unbiased). The code
should run in either Octave or Matlab with the Signal Processing
Toolbox.
The Matlab Signal Processing Toolbox has the function lpc
available. (LPC stands for ``Linear Predictive Coding.'')
The Octave-Forge lpc function (version 20071212) is a wrapper
for the lattice function which implements Burg's method by
default. Burg's method has the advantage of guaranteeing stability
(
is minimum phase) while yielding accuracy comparable to the
covariance method. By uncommenting lines in lpc.m, one can
instead use the ``geometric lattice'' or classic autocorrelation
method (called ``Yule-Walker'' in lpc.m). For details,
``type lpc''.
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