Analysis of autoregressive sequences with multiple roots of characteristic equations
- 1 Dr. Sc. (Eng.), Professor, Head of Department «Telecommunications», Ulyanovsk State Technical University
- 2 Post-graduate Student, Department «Telecommunications», Ulyanovsk State Technical University
Keywords:
autoregressionmultiple roots modelrandom sequencesfiltrationсovariance error matrixcorrelation functioncorrelation interval
Abstract
The text deals with the problem of simulation and optimal estimation of random sequences generated by autoregressive models with multiple roots of characteristic equations. We consider the correlation properties of such models having the equal correlation interval, but different orders of the model. The text describes in detail a comparative analysis of the filtering efficiency of first-order and second-order autoregressions with multiple roots of characteristic equations.
How to cite
Васильев К.К., Андриянов Н.А. Анализ авторегрессий с кратными корнями характеристических уравнений // Радиотехника. 2017. № 6. С. 13–17.
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