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

MaRDI QIDQ1966362zbMATH OpenFDO

Authors Jürgen Ehlgen

Publication date 1 March 2000

Published in Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

autocovariancerecursive algorithmtime series analysisautocovariance functionsmoving average

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(1)

• Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes

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