Innovations algorithm for periodically stationary time series

DOI10.1016/S0304-4149(99)00027-7zbMath0995.62082MaRDI QIDQ1613633

Aldo V. Vecchia, Mark M. Meerschaert, Paul L. Anderson

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

regular variationheavy tailsinnovations algorithmperiodically stationary seriesYule-Walker estimates

Mathematics Subject Classification ID

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

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