Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations) (Q1091067)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations) |
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Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations) (English)
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1987
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It is shown that the stationarity condition is sufficient to determine uniquely the variance and the first p covariances of a stationary AR(p)- process by means of the Yule-Walker equations. A formula for the determinant of the equations' system depending on the zeros of the operator polynomial is given.
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time series
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autoregressive process
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stationarity condition
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variance
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covariances
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stationary AR(p)-process
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Yule-Walker equations
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determinant
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operator polynomial
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