A simple algorithm to factorize the autocovariance function of moving average process chains

zbMath0933.62086MaRDI QIDQ1966362

Jürgen Ehlgen

Publication date: 1 March 2000

Published in: Computational Statistics (Search for Journal in Brave)

zbMATH Keywords

time series analysisrecursive algorithmmoving averageautocovariance functionsautocovariance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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