Efficient computation of autoregressive estimates through a sufficient statistic

DOI10.1109/29.45567MaRDI QIDQ3033161zbMATH OpenOpenAlexFDO

Authors Pham Dinh Tuan, Serge Dégerine

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/10.1109/29.45567

zbMATH Keywords

autoregressive model estimationBurg's algorithmtime reversible methods

Mathematics Subject Classification ID

Sufficient statistics and fields (62B05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(2)

• Efficient Monte Carlo method to obtain parameters of autoregressive in time series
• Efficient use of higher‐lag autocorrelations for estimating autoregressive processes

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