Some efficient computational procedures for high order ARMA models
Some efficient computational procedures for high order ARMA models
复制标题
高阶 ARMA 模型的一些有效计算程序
DOI：
10.1080/00949657908810273
复制
发表时间：
1979
影响因子：
1.2
通讯作者：
G. T. Wilson
中科院分区：
文献类型：
--
作者：
G. T. Wilson
递归方法通常用于求解给定自协方差函数的自回归参数的Yule-Walker方程。相反的程序可以扩展到有效的解决方案的各种方程组中出现的时间序列分析。其中包括阿尔马模型自协方差函数的计算和Cramer-Wold分解。
Recursive methods are commonly used to solve Yule—Walker equations for autoregrsssive parameters given an autocovariance function. The reverse procedure can be extended to the efficient solution of various sets of equations which arise in time series analysis. Those presented in this paper include computation of the autocovariance function of an ARMA model, and the Cramer—Wold factorization.