Notes on poles and convergence rate of autoregressive model

DOI10.1080/00949658608810937zbMath0614.62117OpenAlexW2038338566MaRDI QIDQ4721464

Sumasu Yamada, Keisuke Bekki, Kuniharu Kishida

Publication date: 1986

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658608810937

zbMATH Keywords

transfer functionpower spectral densityconvergence rateautoregressive modelpolesthreshold autoregressive modelAR modelTAR modelLevinson- Durbin algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Contraction of information in systems far from equilibrium ⋮ Notes on poles of autoregressive type model. III: General case

Cites Work

• The Fitting of Time-Series Models
• Generalized Rouche's theorem and its application to multivariate autoregressions
• Inverses of Toeplitz Operators, Innovations, and Orthogonal Polynomials

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