The Levinson Algorithm and Its Applications in Time Series Analysis

DOI10.2307/1403247zbMath0562.62076OpenAlexW2333528927MaRDI QIDQ3675371

Pedro Alberto Morettin

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

zbMATH Keywords

extensionstime seriesLevinson algorithmToeplitz matricesreviewARMA modelslinear filterBurg's recursion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Sir Gilbert Walker and a connection between El Niño and statistics, Generalized Levinson--Durbin and Burg algorithms., Linear rational-expectations models with lagged expectations: a synthetic method