Connecting forward and backward autoregressive models

DOI10.1109/TAC.1984.1103402zbMath0553.93069OpenAlexW2127135425MaRDI QIDQ3216549

Ah Chung Tsoi, Brian D. O. Anderson

Publication date: 1984

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1984.1103402

zbMATH Keywords

matrix Lyapunov equationvector backward autoregressive recursionvector forward autoregressive recursion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Matrix equations and identities (15A24) Analysis of variance and covariance (ANOVA) (62J10)

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