An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)

DOI10.1109/TIT.1986.1057181zbMath0587.62171OpenAlexW2165720762MaRDI QIDQ3713450

Byoung-Seon Choi

Publication date: 1986

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.1986.1057181

zbMATH Keywords

algorithmautocovariance functionARMA processextended Yule-Walker equationsstationary autoregressive moving-average

Mathematics Subject Classification ID

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

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ON THE ASYMPTOTIC DISTRIBUTION OF THE GENERALIZED PARTIAL AUTOCORRELATION FUNCTION IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

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