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

zbMATH Open0933.62086MaRDI QIDQ1966362FDOQ1966362

Authors: Jürgen Ehlgen 

Publication date: 1 March 2000

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

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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)

Cited In (1)

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

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