On the recursive solution of the normal equations of bilateral multivariate autoregressive models

被引：0
|
作者：
Choi, BS [1 ]
机构：
[1] Stanford Univ, Dept Stat, Stanford, CA 94305 USA
来源：
IEEE TRANSACTIONS ON SIGNAL PROCESSING | 1999年 / 47卷 / 05期
关键词：
bilateral AR process; multivariate AR process; normal equations;
D O I：
暂无
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
A multivariate version of the bilateral autoregressive (AR) model is proposed, and a recursive algorithm is presented to solve the normal equations of the bilateral multivariate;IR models. The recursive algorithm is computationally efficient and easy to implement as a computer program, The recursive algorithm is useful for identifying and smoothing not only bilateral multivariate AR processes but multidimensional multivariate AR processes and multivariate spatio-temporal processes as well.
引用
收藏
页码：1388 / 1390
页数：3
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