Model specification of a noncausal 3-D AR process using a causal 3-D AR model on the nonsymmetric half-space (Q1398036)

The paper presents a formula which correlates the autoregressive (AR) coefficients of a noncausal 3-D AR process with those of the corresponding causal 3-D AR process on the nonsymmetric half-space. The 3-D Yule-Walker equations for 3-D AR models on the nonsymmetric half-space are derived, and, for their solution, a computationally efficient order-recursive algorithm is proposed. It is shown that a noncausal 3-D process can be easily specified from its autocorrelations using the autocorrelation equivalence relation, the formula of the AR coefficients and the order-recursive algorithm.