Zur Lösung der Yule-Walker-Gleichungen |
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| Authors: | M. Achilles |
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| Affiliation: | 1. Gesellschaft für Mathematik und Datenverarbeitung, St. Augustin 1, Schlo? Birlinghoven, Postfach 1240, D-5205
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| Abstract: | Summary It is shown that the stationarity condition is sufficient to determine uniquely the variance and the firstp covariances of a stationary AR(p)-process by means of the Yule-Walker equations. A formula for the determinant of the equations’ system depending on the zeros of the operator polynomial is given. |
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