The Levinson Algorithm and Its Applications in Time Series Analysis

DOI10.2307/1403247MaRDI QIDQ3675371zbMATH OpenOpenAlexFDO

Authors Pedro A. 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

ARMA modelsBurg's recursionextensionsLevinson algorithmlinear filterreviewtime seriesToeplitz matrices

Mathematics Subject Classification ID

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

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(7)

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• Levinson’s Algorithm, Wold’s Decomposition, and Spectral Estimation
• scientific article; zbMATH DE number 176094 (Why is no real title available?)
• A new algorithm to accelerate harmonic analysis of time series
• Linear rational-expectations models with lagged expectations: a synthetic method

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