Efficient computation of autoregressive estimates through a sufficient statistic

DOI10.1109/29.45567MaRDI QIDQ3033161zbMATH OpenOpenAlexFDO

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

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)

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(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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