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

DOI10.1007/BF02551381zbMATH Open0736.93077OpenAlexW203008548MaRDI QIDQ1176540FDOQ1176540

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

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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)

Cites Work

• On the parametrization of autoregressive models by partial autocorrelations
• Title not available (Why is that?)
• The Fitting of Time-Series Models
• Title not available (Why is that?)
• A Strong Limit Theorem for Gaussian Processes
• Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density
• A NOTE ON SOME STATISTICS USEFUL IN IDENTIFYING THE ORDER OF AUTOREGRESSIVE MOVING AVERAGE MODEL

Cited In (9)

• Title not available (Why is that?)
• A Levinson-Durbin recursion for autoregressive-moving average processes
• LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION
• Title not available (Why is that?)
• Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters
• Implementation of Lévy CARMA model in \texttt{yuima} package
• An efficient order recursive algorithm with a lattice structure for estimating continuous-time AR process parameters
• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
• Some computational aspects of Gaussian CARMA modelling

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