Accelerated Monte Carlo for optimal estimation of time series

DOI10.1007/s10955-005-3770-1zbMath1088.82026MaRDI QIDQ2574163

Juan M. Restrepo, Gregory L. Eyink, Francis J. Alexander

Publication date: 18 November 2005

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-005-3770-1

zbMATH Keywords

path integral; time series; stochastic processes; hybrid Monte Carlo

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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