Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available population covariances, then, the VAR model is identified. The present paper extends the original XYW...

This paper describes a vector space approach to solving the multidimensional (m-D) Yule-Walker equations for an arbitrary region of support. This approach leads to a solution that is simple to implement.

Input modeling software tries to fit standard probability distributions to data assuming that the data are independent. However, the input environment can generate correlated data. Ignoring the correlations might lead to serious inaccuracies in the performance measures. In the past few years, several dependence modeling packages with different properties have been developed. In our dissertation...

Several signal subspace techniques have been recently suggested for the extraction of the visual evoked potential signals from brain background colored noise. The majority of these techniques assume the background noise as white, and for colored noise, it is suggested to be whitened, without further elaboration on how this might be done. In this paper, we investigate the whitening capabilities ...

A symbolic method which can be used to obtain the asymptotic bias and variance coefficients to order O(1/n) for estimators in stationary time series is discussed. Using this method, the large-sample bias of the Burg estimator in the AR(p) for p 1⁄4 1, 2, 3 is shown to be equal to that of the least squares estimators in both the known and unknown mean cases. Previous researchers have only been a...

Abstract Sequential methods for synthetic realisation of random processes have a number advantages compared with spectral methods. In this article, the determination optimal autoregressive (AR) models reproducing predefined target autocovariance function process is addressed. To end, novel formulation problem developed. This linear and generalises well-known Yule-Walker (Y-W) equations recent a...