On the closed form of the covariance matrix and its inverse of the causal ARMA process
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Publication:4677023
DOI10.1111/j.1467-9892.2004.01454.xzbMath1062.62179OpenAlexW3124846677MaRDI QIDQ4677023
Publication date: 20 May 2005
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01454.x
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25)
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