Estimation of noise correlations in transfer function models

DOI10.1080/03610918108812215MaRDI QIDQ3920493zbMATH OpenOpenAlexFDO

Authors

Publication date 1981

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918108812215

zbMATH Keywords

time series regressionspectrumfast Fourier transformtransfer function modelsestimation of noise correlations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites work

• scientific article; zbMATH DE number 3550006 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• The prediction variance and related statistics for stationary time series

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