A sequential majorization method for approximating weighted time series of finite rank
From MaRDI portal
Publication:1784720
DOI10.4310/SII.2018.v11.n4.a6MaRDI QIDQ1784720
Jian Shen, Hou-Duo Qi, Nai-Hua Xiu
Publication date: 27 September 2018
Published in: Statistics and Its Interface (Search for Journal in Brave)
Hankel matrix; alternating projection; singular spectrum analysis; majorization method; time series of finite rank
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
62P99: Applications of statistics