FAST ALGORITHM OF THE LEVINSON TYPE FOR ARMA PROCESSES.

被引：0
|
作者：
Dickinson, Bradley W.
机构：
来源：
Welding in the World, Le Soudage Dans Le Monde | 1979年
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中图分类号：
T [工业技术]; C93 [管理学];
学科分类号：
08 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Consideration is given to the solution of a kind of linear system of equations arising in linear least squares estimation of autoregressive-moving average (ARMA) processes. The covariance matrix of such a process is involved and it is associated with a rational power spectral density function. The amount of computation required by the Levinson-type algorithm presented grows linearly with n, the number of equations, for n sufficiently large.
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页码：169 / 173
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