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An Alternative Formulation for the Recursive Solution of the Covariance and Autocorrelation Equations

par Carayannis, Georges
Référence IEEE Transactions on Acoustics, Speech, and Signal Processing, 25, 6, page (574-577)
Publication Publié, 1977

Article révisé par les pairs

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Résumé :

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.