Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications

DOI10.1007/BF02551381MaRDI QIDQ1176540zbMATH OpenOpenAlexFDO

Authors Pham Dinh Tuan, Alain Le Breton

Publication date 25 June 1992

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02551381

zbMATH Keywords

Wiener processrecurrence algorithmsrandom continuous-time autoregressive process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03) Stochastic stability in control theory (93E15)

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Cites work

• scientific article; zbMATH DE number 3482173 (Why is no real title available?)
• scientific article; zbMATH DE number 3244325 (Why is no real title available?)
• A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL
• A Strong Limit Theorem for Gaussian Processes
• Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density
• On the parametrization of autoregressive models by partial autocorrelations
• The Fitting of Time-Series Models

Cited in

(9)

• Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters
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• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
• An efficient order recursive algorithm with a lattice structure for estimating continuous-time AR process parameters
• Implementation of Lévy CARMA model in \texttt{yuima} package
• A Levinson-Durbin recursion for autoregressive-moving average processes
• scientific article; zbMATH DE number 4102203 (Why is no real title available?)
• Some computational aspects of Gaussian CARMA modelling
• LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION

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