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《Acta Scientiarium Naturalium Universitatis Jilinensis》 2001-02
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A Least Square Estimation of Autoregressive Processes

LIN Zheng-hua (Department of Mathematics, Jilin University, Changchun, 130012, P.R.China) FENG Ren-zhong (Department of Information, Changchun Taxation College, Changchun, 130021, P.R.China)  
The present paper deals with an exact estimation of the parameter of AR processes via the theories of constrained optimizations and computational mathematics, and presents a method for solving this parameter and the operation is about O(N). The estimation is of the same order operation of the least square estimation under losting some information of the sample. Therefore, the new exact estimation is a feasible method.
【CateGory Index】: O212.1
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