Finite Data Lattice Algorithms for Instrumental Variable Recursions.
Abstract
The last few years have seen a rapid development of the so-called Lattice Algorithms for the fast solution of finite data least squares problems. While a fast algorithm has been given for finite data Instrumental Variable Recursions, as yet no finite data lattice schemes have been given. In this work a lattice algorithm is derived for a finite data Instrumental Variable Recursion and its use in both ARMA and ARMAX Time Series models is indicated. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Mar 01, 1982
- Accession Number
- ADA114598
Entities
People
- Victor Solo
Organizations
- University of Wisconsin–Madison