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Solutions of Yule-Walker equations for singular AR processes

Chen, Weitian; Anderson, Brian; Deistler, Manfred; Filler, Alexander

Description

A study is presented on solutions of the Yule-Walker equations for singular AR processes that are stationary outputs of a given AR system. If the Yule-Walker equations admit more than one solution and the order of the AR system is no less than two, the solution set includes solutions which define unstable AR systems. The solution set also includes one solution, the minimal norm solution, which defines an AR system whose characteristic polynomial has either only stable zeros (implying that only...[Show more]

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
URI: http://hdl.handle.net/1885/65983
Source: Journal of Time Series Analysis
DOI: 10.1111/j.1467-9892.2010.00711.x

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