Levinson-Durbin algorithm as a Szegö polynomial recursion

DOI10.1007/s001800200090zbMath1013.65006OpenAlexW2911530296MaRDI QIDQ1855621

Seongbaek Yi, Byoung-Seon Choi

Publication date: 6 February 2003

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001800200090

zbMATH Keywords

orthonormal polynomialsYule-Walker equationsAR modelLevinson-Durbin algorithmSzegö recursive algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Iterative numerical methods for linear systems (65F10) Special polynomials in general fields (12E10)

Cites Work

• ARMA model identification
• A recursive algorithm for solving the spatial Yule-Walker equations of causal spatial AR models
• The Fitting of Time-Series Models
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