Solutions of Yule-Walker equations for singular AR processes
نویسندگان
چکیده
منابع مشابه
Solutions of Yule-Walker equations for singular AR processes
A study is presented on solutions of the Yule-Walker equations for singular AR processes that are stationary outputs of a given AR system. If the Yule-Walker equations admit more than one solution and the order of the AR system is no less than two, the solution set includes solutions which define unstable AR systems. The solution set also includes one solution, the minimal norm solution, which ...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2011
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2010.00711.x