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An Algorithm for Fitting Autoregressive Schemes
Author(s) -
Pagano Marcello
Publication year - 1972
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346277
Subject(s) - autoregressive model , algorithm , computer science , star model , setar , mathematics , econometrics , autoregressive integrated moving average , time series , machine learning
Summary 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.
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