Covariance characterization by partial autocorrelation matrices
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Publication:598758
DOI10.1214/aos/1176344208zbMath0413.62072OpenAlexW1970369302MaRDI QIDQ598758
A. Vieira, Martin Morf, Thomas Kailath
Publication date: 1978
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176344208
multivariate processmatrix covariance functionmaximum entropy spectral analysis methodpartial autocorrelation matricesstationary discrete process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Eigenvalues, singular values, and eigenvectors (15A18)
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