Efficient computation of autoregressive estimates through a sufficient statistic

DOI10.1109/29.45567zbMATH Open0691.62081OpenAlexW1976203115MaRDI QIDQ3033161FDOQ3033161

Authors: Pham Dinh Tuan, Serge Dégerine 

Publication date: 1990

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/29.45567

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zbMATH Keywords

Burg's algorithmautoregressive model estimationtime reversible methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sufficient statistics and fields (62B05)

Cited In (2)

• Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
• Efficient Monte Carlo method to obtain parameters of autoregressive in time series

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