LEVINSON-TYPE RECURSIVE ALGORITHMS FOR LEAST-SQUARES AUTOREGRESSION

DOI10.1111/J.1467-9892.1990.TB00059.XzbMATH Open0716.62089OpenAlexW1988195923MaRDI QIDQ3203887FDOQ3203887

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

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• scientific article; zbMATH DE number 4106081
• Publication:5751858
• Algorithms for estimation of autoregression coefficients
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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)

Cites Work

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

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
• Title not available (Why is that?)
• Heavy-tailed prediction error: a difficulty in predicting biomedical signals of \(1/f\) noise type
• Properties of generalized Levinson-Durbin-Whittle sequences
• Levinson-Durbin algorithm as a Szegö polynomial recursion

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