Hallin, Marc; Ingenbleek, Jean-François - In: Statistics & Probability Letters 1 (1983) 4, pp. 189-195
A nonstationary generalization of the classical Yule-Walker equations, relating the (time-varying) autocorrelations of an autoregressive process to the coefficients of the possible models for this process, is given. The corresponding theoretical model-building (or spectral factorization)...