An algorithm for solving the extended Yule- Walker equations of an autoregressive moving-average time series (Corresp.)
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Publication:3713450
DOI10.1109/TIT.1986.1057181zbMath0587.62171MaRDI QIDQ3713450
Publication date: 1986
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
algorithm; autocovariance function; ARMA process; extended Yule-Walker equations; stationary autoregressive moving-average
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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