Algorithm AS 175: Cramer-Wold Factorization

DOI10.2307/2347083MaRDI QIDQ4742200zbMATH OpenOpenAlexFDO

Authors Dirk Laurie

Publication date 1982

Published in Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2347083

zbMATH Keywords

time seriesFortran 66algorithm AS 175Cramer-Wold factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Computer aspects of numerical algorithms (65Y99) Nonlinear algebraic or transcendental equations (65H99)

Cited in

(7)

• Improved frequency selective filters
• On the criterion function for ARMA estimation
• Econometric methods of signal extraction
• Sharp filters for short sequences
• AS 175
• Probabilistic-statistical programs from ``Applied Statistics
• A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION

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