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Biometrika 1988 75(4):788-789; doi:10.1093/biomet/75.4.788
© 1988 by Biometrika Trust
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MISCELLANEA

A note on local parameter orthogonality and Levinson—Durbin algorithm

H. TONG

Institute of Mathematics, University of Kent Canterbury, Kent, CT2 7NF, U.K.

We have shown how a locally orthogonal reparameterization of an autoregressive model leads to the Levinson-Durbin algorithm.

Key Words: Autoregressive model • Levinson-Durbin algorithm • Local orthogonality • Partial autocorrelation • Reparameterization


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