• DocumentCode
    941653
  • Title

    An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)

  • Author

    Choi, Byoung-seon

  • Volume
    32
  • Issue
    3
  • fYear
    1986
  • fDate
    5/1/1986 12:00:00 AM
  • Firstpage
    417
  • Lastpage
    419
  • Abstract
    A new form of the extended Yule-Walker equations of a stationary autoregressive moving-average (ARMA) scheme is proposed. An algorithm using the new form is also given for calculating the parameters of the ARMA process from its autocovariance function without a proof of its convergence.
  • Keywords
    Autoregressive moving-average processes; Autocorrelation; Automatic control; Control systems; Electroencephalography; Equations; Instruments; Kalman filters; Parameter estimation; Speech processing; Stochastic processes;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9448
  • Type

    jour

  • DOI
    10.1109/TIT.1986.1057181
  • Filename
    1057181
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=941653