Connecting forward and backward autoregressive models

DOI10.1109/TAC.1984.1103402MaRDI QIDQ3216549zbMATH OpenOpenAlexFDO

Authors 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

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

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(2)

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