The Yule–Walker equations as a weighted least-squares problem and the association with tapering

DOI10.1080/03610926.2014.936941zbMath1347.62200OpenAlexW2469673055MaRDI QIDQ2817140

Steven M. Crunk, Bee Leng Lee, Joan Parrish

Publication date: 29 August 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.936941

zbMATH Keywords

autoregressionweighted least squarestaperYule-Walker

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Acute perturbation bounds of weighted Moore–Penrose inverse

Uses Software

• R
• alr3

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Matrix derivatives with an application to an adaptive linear decision problem
• Spectral Analysis for Physical Applications
• SPECTRAL ANALYSIS WITH TAPERED DATA
• Recursive maximum likelihood estimation of autoregressive processes
• REDUCTION OF THE ASYMPTOTIC BIAS OF AUTOREGRESSIVE AND SPECTRAL ESTIMATORS BY TAPERING
• On testing for unit roots and the initial observation

This page was built for publication: The Yule–Walker equations as a weighted least-squares problem and the association with tapering