Linear least squares estimation of complex processes

M.D. Srinath,H.R. Keshavan

Linear least squares estimation of complex processes

1977

M.D. Srinath
H.R. Keshavan

The Levinson algorithm for the linear least squares estimation of complex processes is presented. Identification of parameters of a stationary complex autoregressive process is developed by using the algorithm.

Keywords:

Econometrics
Mathematical optimization
Total least squares
Non-linear least squares
Mathematics
Recursive least squares filter
Iteratively reweighted least squares
Generalized least squares
Linear least squares
Least squares
Simple linear regression
Autoregressive model

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