Title :
An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)
Author :
Choi, Byoung-seon
fDate :
5/1/1986 12:00:00 AM
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;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1986.1057181
