A recursive algorithm for solving the spatial Yule-Walker equations of causal spatial AR models

DOI10.1016/S0167-7152(96)00133-2zbMath0899.62111OpenAlexW1991001451MaRDI QIDQ1380594

Byoung-Seon Choi

Publication date: 8 March 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00133-2

zbMATH Keywords

order determination

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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A new Levinson-Durbin based 2-D AR model parameter estimation method ⋮ Levinson-Durbin algorithm as a Szegö polynomial recursion ⋮ Solving 2-d wiener filtering problem using the block cholesky decomposition

Cites Work

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• ARMA model identification
• Statistical spatial series modelling II: Some further results on unilateral lattice processes
• ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

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