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

DOI10.1007/BF02613316zbMATH Open0652.62087MaRDI QIDQ1107249FDOQ1107249

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

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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)

Cites Work

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

Cited In (3)

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

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