Covariance matrices characterization by a set of scalar partial autocorrelation coefficients
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Publication:1173367
DOI10.1214/aos/1176346085zbMath0503.62082OpenAlexW2044958279MaRDI QIDQ1173367
Publication date: 1983
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176346085
autocovariance matricesstationary multivariate time seriescircular lattice filteringscalar partial autocorrelation coefficients
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)
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