The generalized variance of a stationary autoregressive process
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Publication:1245522
DOI10.1016/0047-259X(77)90069-0zbMath0376.60040OpenAlexW2017630754MaRDI QIDQ1245522
Raul Pedro Mentz, T. W. Anderson
Publication date: 1977
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0047-259x(77)90069-0
Gaussian processes (60G15) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cites Work
- Approximations for stationary covariance matrices and their inverses with application to ARMA models
- On the covariance determinants of moving-average and autoregressive models
- EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
- On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
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