Bemerkung zur Lösung der Yule-Walker-Gleichungen. (Remarks on the solution of the Yule-Walker equations)

DOI10.1007/BF02613316MaRDI QIDQ1107249zbMATH OpenFDO

Authors Helmut Lütkepohl, Erich Otto Maschke

Publication date 1988

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/176191

zbMATH Keywords

autoregressive processautocovariance matricesstationary vector AR(p) processYule-Walker-equations

Mathematics Subject Classification ID

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

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Cites work

• Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations)

Cited in

(3)

• Some properties of solutions of Yule-Walker type equations
• Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations)
• Solutions of Yule-Walker equations for singular AR processes

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