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An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)

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1 Author(s)

A new form of the extended Yule-Walker equations of a stationary autoregressive moving-average (ARMA) scheme is proposed. An algorithm using the new form is also given for calculating the parameters of the ARMA process from its autocovariance function without a proof of its convergence.

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Information Theory, IEEE Transactions on  (Volume:32 ,  Issue: 3 )