A recursive algorithm for solving the spatial Yule-Walker equations of causal spatial AR models

被引：22

作者：

Choi, B ^{[1
]}

机构：

[1] YONSEI UNIV,DEPT APPL STAT,SEOUL 120749,SOUTH KOREA

来源：

关键词：

spatial AR process; Yule-Walker equations; recursive algorithm; order determination;

D O I：

10.1016/S0167-7152(96)00133-2

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A recursive algorithm is proposed to solve the spatial Yule-Walker equations for causal spatial AR models.

引用

页码：241 / 251

页数：11

共 5 条

[1]

Brockwell PJ., 1991, Time Series: Theory and Methods

[2]

Choi B., 1992, ARMA Model Identification

[3]

CHOI BS, 1991, J TIME SER ANAL, V12, P193

JUSTICE, JH .

TJOSTHEIM, D .