Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation

DOI10.1016/j.jmva.2010.01.004zbMath1185.62167OpenAlexW2067637859MaRDI QIDQ962220

Paul Shaman

Publication date: 6 April 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.01.004

zbMATH Keywords

least squares estimatorYule-Walker estimatorbinomial coefficientspartial correlationsgeneralized Levinson-Durbin sequenceLevinson-Durbin sequence

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Factorials, binomial coefficients, combinatorial functions (05A10) Binomial coefficients; factorials; (q)-identities (11B65)

Related Items

Regressor and disturbance have moments of all orders, least squares estimator has none ⋮ Properties of generalized Levinson-Durbin-Whittle sequences

Uses Software

• itsmr

Cites Work

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