LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION

DOI10.1111/j.1467-9892.1990.tb00059.xzbMath0716.62089OpenAlexW1988195923MaRDI QIDQ3203887

Dawei Huang

Publication date: 1990

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1990.tb00059.x

zbMATH Keywords

algorithmexplosive modelsfast, efficient recursionleast-squares autoregressive coefficientsnon-stationary models

Mathematics Subject Classification ID

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

Related Items (4)

Evaluation of forecasts in AR models with outliers ⋮ Heavy-tailed prediction error: a difficulty in predicting biomedical signals of \(1/f\) noise type ⋮ On the predictability of long-range dependent series ⋮ Recursive method for ARMA model estimation. II

Cites Work

• Recursive method for ARMA model estimation. I
• A new autoregressive spectrum analysis algorithm
• Bias of some commonly-used time series estimates
• A Heuristic Exposition of Wiener's Mathematical Theory of Prediction and Filtering
• SOME THEOREMS IN LEAST SQUARES

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