A sequential majorization method for approximating weighted time series of finite rank

DOI10.4310/SII.2018.v11.n4.a6MaRDI QIDQ1784720

Jian Shen, Hou-Duo Qi, Nai-Hua Xiu

Publication date: 27 September 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

Hankel matrix; alternating projection; singular spectrum analysis; majorization method; time series of finite rank

Mathematics Subject Classification ID

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

62M15: Inference from stochastic processes and spectral analysis

62P99: Applications of statistics