Distribution of random quadratic forms arising in singular-spectrum analysis

MaRDI QIDQ2708497zbMATH OpenFDO

Authors Valentina G. Moskvina

Publication date 17 August 2001

Published in Mathematical Communications (Search for Journal in Brave)

zbMATH Keywords

centringrandom quadratic formssinglar-spectrum analysistime seriestrajectory matrix

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(1)

• An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection

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