Decomposition of stationary time series - finding the highly correlated components of stochastic processes

DOI10.1007/BF00204777zbMath0658.62104MaRDI QIDQ1111298

S. H. Smith

Publication date: 1989

Published in: Biological Cybernetics (Search for Journal in Brave)

zbMATH Keywords

autocorrelations; stationary time series; quadratic criterion; optimization operator; sum of time series; zeta-optimator

Mathematics Subject Classification ID

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

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