[SciPy-User] How to calculate Yulewalk with scipy.optimize.leastsq

David Cournapeau cournape@gmail....
Sun Jan 22 06:12:53 CST 2012

On Fri, Jan 20, 2012 at 12:45 PM, Sturla Molden <sturla@molden.no> wrote:
> Den 18.01.2012 08:50, skrev Fabrice Silva:
>> Note that talkbox seems to have some stuff on Yule-Walker
>> http://www.ar.media.kyoto-u.ac.jp/members/david/softwares/talkbox/talkbox_doc/index.html
>> in python for educational purpose, and C for performance.
> No need to use C for performance here.

We are not talking about the same algorithm here. Because the
correlation matrix has a very specific structure (toeplitz), it can be
inverted in O(N^2) instead of O(N^3), this is what the Levinson Durbin
algorithm is all about. You cannot easily implement Levinson-Durbin in
numpy, because of its recursive nature.

I think you can also reasonably expect talkbox author to know one
thing or two about numpy ;)


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