par Hallin, Marc ;Ingenbleek, Jean-François
Référence Statistics & Probability Letters, 1, page (189-195)
Publication Publié, 1983
Article révisé par les pairs
Résumé : A nonstationary generalization of the classical Yule-Walker equations, relating the (time-varying) autocorrelations of an autoregressive process to the coefficients of the possible models for this process, is given. The corresponding theoretical model-building (or spectral factorization) problem, i.e., that of expressing the above mentioned models in terms of the autocorrelations, is solved. This paper, as well as several others, is part of a work whose purpose is a systematic study of time-varying ARMA models. © 1983.

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