ISSN 1817-2172, рег. Эл. № ФС77-39410, ВАК

Differential Equations and Control Processes
(Differencialnie Uravnenia i Protsesy Upravlenia)

Fast Algorithm of Build-up of a Non-Stationary Vector Linear Autoregression


Yuri Petrovich Dranitsa

The Murmansk State Technical University,
Russia, Murmansk

Andrei Yurevich Dranitsa

Closed Joint-Stock Company "Lanit",
Russia, Moscow

Olga Vasilevna Alekseevskaya

Closed Joint-Stock Company "Lanit",
Russia, Moscow


The fast algorithm of construction of the linear autoregression for vector time series which are non-stationary relative to 2nd order statistics has been developed. The method is based on Toeplitz's recursive procedure and does not require the knowledge of the correlation matrix of data. The comparative analysis of the technique with the classical decision of this problem has been performed. The method can be used for the estimation of dynamic characteristics of vector time series in non-stationary case.
Autoregression equation, vector time series, fast algorithms, correlation function, the method of maximal entropy, function of partial correlation.

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