ESTIMATION OF THE COEFFICIENTS OF A MULTIVARIATE LINEAR FILTER USING THE INNOVATIONS ALGORITHM

DOI10.1111/1467-9892.00044zbMath1092.62587OpenAlexW1979052127MaRDI QIDQ4221796

Heather Mitchell, Peter J. Brockwell

Publication date: 7 March 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00044

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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