Accession Number : ADA117071

Title :   A Toeplitz Gram-Schmidt Algorithm for Autoregressive Modeling.

Descriptive Note : Technical rept.,

Corporate Author : TEXAS A AND M UNIV COLLEGE STATION INST OF STATISTICS

Personal Author(s) : Davis,Herbert T ; Newton,H Joseph ; Pagano,Marcello

PDF Url : ADA117071

Report Date : Jul 1982

Pagination or Media Count : 22

Abstract : An algorithm is presented for efficiently finding the information needed in the modified Gram-Schmidt decomposition of the augmented autoregressive design matrix to find the Yule-Walker estimators of autoregressive parameters for orders 1, 2, ..., M. the algorithm is shown to be slightly slower than Levinson's algorithm and to require slightly more storage but enjoys the superior numerical properties of the modified Gram-Schmidt decomposition algorithm. Further, it is shown how the algorithm provides a unified framework for suggesting robust autoregressive estimators, for finding autoregression diagnostics, and for understanding the Burg algorithm. (Author)

Descriptors :   *Algorithms, *Mathematical models, Matrices(Mathematics), Comparison, Storage, Estimates, Decomposition, Parameters, Augmentation

Subject Categories : Theoretical Mathematics

Distribution Statement : APPROVED FOR PUBLIC RELEASE