Error covariance matrix estimation of noisy and dynamically coupled time series

DOI10.1007/s10955-012-0683-7zbMath1300.37049OpenAlexW1996918665MaRDI QIDQ1942295

Manuel Morán, Maria Eugenia Mera

Publication date: 18 March 2013

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://eprints.ucm.es/58889/1/mera-moran%2806-junio-2012%29jsp.pdf

zbMATH Keywords

noise reductionmeasurement error modelsdynamical couplingerror covariance matrix estimationlocal projection methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Uses Software

• TISEAN
• IMSL Numerical Libraries

Cites Work

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