An alternative formulation for the recursive solution of the covariance and autocorrelation equations
G. Carayannis · IEEE Transactions on Acoustics Speech and Signal Processing · 1977
The present paper gives an alternative formulation for solving autocorrelation and covariance equations, which is different from that based on a scalar product definition. A simple direct matrix formulation, which leads to recursive algorithms for both covariance and autocorrelation equations is given. For the covariance method k, α and β parameters are defined. Some useful definitions for ARMA models are given.