LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION

DOI10.1111/J.1467-9892.1990.TB00059.XMaRDI QIDQ3203887zbMATH OpenOpenAlexFDO

Authors Dawei Huang

Publication date 1990

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1990.tb00059.x

zbMATH Keywords

algorithmexplosive modelsfast, efficient recursionleast-squares autoregressive coefficientsnon-stationary models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Recommendations

• Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
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• scientific article; zbMATH DE number 4106081
• Publication:5751858
• Algorithms for estimation of autoregression coefficients
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Cites work

• A Heuristic Exposition of Wiener's Mathematical Theory of Prediction and Filtering
• A new autoregressive spectrum analysis algorithm
• Bias of some commonly-used time series estimates
• Recursive method for ARMA model estimation. I
• SOME THEOREMS IN LEAST SQUARES

Cited in

(10)

• Evaluation of forecasts in AR models with outliers
• On the predictability of long-range dependent series
• Two autoregressive identities
• Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation
• Recursive method for ARMA model estimation. II
• Algorithms for estimation of autoregression coefficients
• Heavy-tailed prediction error: a difficulty in predicting biomedical signals of \(1/f\) noise type
• Properties of generalized Levinson-Durbin-Whittle sequences
• scientific article; zbMATH DE number 1389758 (Why is no real title available?)
• Levinson-Durbin algorithm as a Szegö polynomial recursion

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