From autocovariances to moving average: An algorithm comparison

zbMATH Open0924.65155MaRDI QIDQ1297872FDOQ1297872

Authors: Gabriele Fiorentini, C. Planas 

Publication date: 14 September 1999

Published in: Computational Statistics (Search for Journal in Brave)

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zbMATH Keywords

convergenceNewton-Raphson methodmoving average processesautocovariancesnonlinear equation systemspolynomial root search method

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Analysis of variance and covariance (ANOVA) (62J10) Numerical computation of solutions to systems of equations (65H10)

Cited In (1)

• A simple algorithm to factorize the autocovariance function of moving average process chains

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