Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences

DOI10.1109/TASSP.1983.1164049zbMath0565.62073OpenAlexW1974616963MaRDI QIDQ3680122

Yujiro Inouye

Publication date: 1983

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/tassp.1983.1164049

zbMATH Keywords

general casenondegenerate casemultichannel time seriesextrapolation of matrix-valued autocorrelation sequencesmultichannel Levinson algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Data smoothing in stochastic control theory (93E14)

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