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I am studying autoregressive models such as ${\it AR}(1)$, ${\it AR}(2)$, ${\it AR}(p)$, and ${\it ARMA}$, as well as the Yule-Walker equations, specifically in the field of electrical engineering.

Can you recommend a comprehensive book that covers these topics in detail?

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  • $\begingroup$ Statistical signal processing books that cover adaptive filters is a good place to start. The Kay and Marple spectral estimation books also cover it a decent amount. Ultimately you’re looking for linear models/prediction. $\endgroup$ Commented Jun 15, 2024 at 14:59

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A few good books that you might find quite useful:

  • Discrete Random Signals and Statistical Signal Processing, Charles W. Therrien, 1992

  • Statistical Digital Signal Processing and Modeling, Monson Hayes, 1996

  • Statistical and Adaptive Signal Processing: Spectral Estimation, Signal Modeling, Adaptive Filtering, and Array Processing, Dimitris Manolakis, Stephen M. Kogon, and Vinay K. Ingle, 2000

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