The Levinson Algorithm and Its Applications in Time Series Analysis
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Publication:3675371
DOI10.2307/1403247zbMath0562.62076MaRDI QIDQ3675371
Publication date: 1984
Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1403247
extensions; time series; Levinson algorithm; Toeplitz matrices; review; ARMA models; linear filter; Burg's recursion
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
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