The Numerical Solution of a Nonlinear System Arising in Time Series Analysis

DOI10.1137/0906027MaRDI QIDQ5186699zbMATH OpenOpenAlexFDO

Authors

Publication date 1985

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0906027

zbMATH Keywords

generating function factorization methodidentification of parametersNewton's methodtime series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Numerical computation of solutions to systems of equations (65H10)

Cited in

(5)

• Properties of the transfer functions of compartmental models. II
• On the solution nonlinear adjustment problems in the determination of frequencies in time series
• A novel numerical method on the resolution of the time-invariant systems response
• Numerical experimentation with time-series methods for convolution integral equation
• Analysis of noisy signals

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