Stable Autoregressive Models and Signal Estimation

DOI10.1080/03610926.2011.552832zbMath1286.37067OpenAlexW2082855037MaRDI QIDQ2920015

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Publication date: 23 October 2012

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

Full work available at URL: https://doi.org/10.1080/03610926.2011.552832

zbMATH Keywords

model identificationsignal estimationextended Yule-Walker estimationpartial auto-covariationstable autoregressive model

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Time series analysis of dynamical systems (37M10)

Related Items (2)

Detecting conditional independence for modeling non-Gaussian time series ⋮ Analysis of autoregressive models with symmetric stable innovations

Cites Work

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• Linear Problems in Linear Problems inpth Order and Stable Processes
• Regression and autoregression with infinite variance
• Autoregressive processes with infinite variance
• Numerical calculation of stable densities and distribution functions
• Spectral estimation via the high-order Yule-Walker equations
• Estimation of unknown parameters in nonlinear and non-Gaussian state-space models
• A method for fitting stable autoregressive models using the autocovariation function

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