Fast algorithm of build-up of a non-stationary vector linear autoregression

MaRDI QIDQ3121671zbMATH OpenFDO

Authors Yuriĭ Petrovich Dranitsa, Andreĭ Yur'Evich Dranitsa, Ol'Ga Vasil'Evna Alekseevskaya

Publication date 20 March 2019

Full work available at URL http://diffjournal.spbu.ru/EN/numbers/2011.4/article.1.4.html

zbMATH Keywords

autoregression equationcorrelation functionfast algorithmsfunction of partial correlationmethod of maximal entropyvector time series

Mathematics Subject Classification ID

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

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