Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications

Mathematics of Control, Signals, and Systems

Volumn 4, Issue 1, 1991, Pages 69-79

  Pham, Dinh Tuan ^a   Le Breton, Alain ^a  

^a CNRS   (France)

Author keywords

Continuous time autoregressive model; Covariance function; Levinson Durbin algorithm; Stability

Indexed keywords

MATHEMATICAL TECHNIQUES - ALGORITHMS; SYSTEM STABILITY;

CONTINUOUS-TIME AUTOREGRESSIVE MODELS; COVARIANCE FUNCTIONS;

STATISTICAL METHODS;

EID: 0025956496     PISSN: 09324194     EISSN: 1435568X     Source Type: Journal    
DOI: 10.1007/BF02551381     Document Type: Article

References (10)

1. On the parametrization of autoregressive model by partial autocorrelations
2. A strong limit theorem for Gaussian processes
3. The fitting of time series models
4. Further comments on a symmetric matrix formulation of the Hurwitz-Routh stability criterion
5. Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density
6. A note on some statistics useful in identifying the order of autoregressive moving average model