scientific article; zbMATH DE number 3759400

MaRDI QIDQ3942264zbMATH OpenFDO

Authors Emanuel Parzen

Publication date 1981

zbMATH Keywords

autocorrelationsinnovation varianceslong memoryno memoryprediction variance horizon functionshort memoryspectral densityspectral distributionwhitening filter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20) Identification in stochastic control theory (93E12)

Cited in

(5)

• Maximum entropy interpretation of autoregressive spectral densities
• A short note on the dependence structure of a stochastic process generated by the asymmetric cusp map
• THE CRITERION AUTOREGRESSIVE TRANSFER FUNCTION OF PARZEN
• Memory properties of transformations of linear processes
• Improving the lag window estimators of the spectrum and memory for long-memory stationary Gaussian processes

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