Covariance matrix computation of the state variable of a stationary Gaussian process

DOI10.1007/BF02480240zbMath0444.62110OpenAlexW4243648297MaRDI QIDQ1144887

Hirotugu Akaike

Publication date: 1978

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02480240

zbMATH Keywords

recursive procedureMarkovian representationcomputation of one- step ahead predictionscovariance matrix computationexact likelihood evaluationGaussian autoregressive moving average model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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