An Algorithm for Fitting Autoregressive Schemes

Marcello Pagano

Journal of the Royal Statistical Society Series C, 1972, vol. 21, issue 3, 274-281

Abstract: An algorithm is proposed for calculating the Yule–Walker estimates of the parameters of a stationary autoregressive scheme. A method for obtaining an estimate of the asymptotic covariance matrix of the estimators is also given for the case of a normal series.

Date: 1972
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