New insights into the high-order Yule-Walker equations

DOI10.1109/29.60088zbMath0699.62086OpenAlexW2012254086MaRDI QIDQ3477848

Luis Vergara

Publication date: 1990

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/29.60088

zbMATH Keywords

autoregressive processessingularity conditionautocorrelation estimateshigh-order Yule-Walker equationsnoise compensationhigh-order autocorrelation matrixlow- order autocorrelation matrixnoisy AR process

Mathematics Subject Classification ID

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

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