An alternative formulation for the recursive solution of the covariance and autocorrelation equations
- 1 December 1977
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Acoustics, Speech, and Signal Processing
- Vol. 25 (6) , 574-577
- https://doi.org/10.1109/tassp.1977.1163011
Abstract
The present paper gives an alternative formulation for solving autocorrelation and covariance equations, which is different from that based on a scalar product definition. A simple direct matrix formulation, which leads to recursive algorithms for both covariance and autocorrelation equations is given. For the covariance method k, a and (β parameters are defined. Some useful definitions for ARMA models are given. Copyright © 1977 by The Institute of Electrical and Electronics Engineers, Inc.SCOPUS: no.jinfo:eu-repo/semantics/publisheKeywords
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