论文信息 - Generalized Yule-Walker equations and testing the orders of multivariate time series

Generalized Yule-Walker equations and testing the orders of multivariate time series

Consistency condi ions are given for the estimates of AR-parameters of multivariate ARMA models, obtained by using generalized Yule-Walker equations. The related problem of selecting the model orders by testing the rank of the output covariance matrix is also discussed.

Petre Stoica | P. Stoica

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