LEVINSON‐TYPE RECURSIVE ALGORITHMS FOR LEAST‐SQUARES AUTOREGRESSION

Dawei Huang

Journal of Time Series Analysis, 1990, vol. 11, issue 4, 295-315

Abstract: Abstract. A set of formulae for calculating the least‐squares autoregressive coefficients is given. It can be used for stable, unstable and explosive models. The calculations needed by this algorithm are less than those of the Burg and Marple algorithms. The method used to deduce these formulae has general significance. For example, it is also used to improve the Marple algorithm. Simulation shows that the estimates given by this algorithm are better than those given by the Levinson and Burg recursions.

Date: 1990
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https://doi.org/10.1111/j.1467-9892.1990.tb00059.x

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