Error covariance matrix estimation of noisy and dynamically coupled time series
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Publication:1942295
DOI10.1007/s10955-012-0683-7zbMath1300.37049MaRDI QIDQ1942295
Manuel Morán, Maria Eugenia Mera
Publication date: 18 March 2013
Published in: Journal of Statistical Physics (Search for Journal in Brave)
Full work available at URL: https://eprints.ucm.es/58889/1/mera-moran%2806-junio-2012%29jsp.pdf
noise reduction; measurement error models; dynamical coupling; error covariance matrix estimation; local projection methods
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
37M10: Time series analysis of dynamical systems
Uses Software
Cites Work
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