Generalized Levinson--Durbin and Burg algorithms.

DOI10.1016/S0304-4076(03)00138-6zbMath1033.62091MaRDI QIDQ1421316

Rainer Dahlhaus, Peter J. Brockwell

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Burg algorithmLevinson--Durbin algorithmMultistep predictionRecursive autoregressionSubset modelling

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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