Efficient algorithm for determination of a.r. part of a.r.m.a. model
G. Carayannis, N. Kalouptsidis, Dimitris G. Manolakis · Electronics Letters · 1980
A fast recursive scheme is given for the solution of the Yule-Walker equations to obtain the a.r. part of an a.r.m.a. model. A lattice equivalent to the predictive filter is also included. This new structure requires what is subsequently called an adjoint model. The algorithm can be used in the evaluation of the a.r. and m.a. parsimonious orders.