An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
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Publication:2329801
DOI10.1007/s11222-018-9843-1zbMath1430.62207arXiv1709.06115OpenAlexW2962902680MaRDI QIDQ2329801
Eirik Myrvoll-Nilsen, Håvard Rue, Sigrunn H. Sørbye
Publication date: 18 October 2019
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.06115
Toeplitz matrixlong-range dependenceautoregressive processGaussian Markov random fieldintegrated nested Laplace approximation
Computational methods for problems pertaining to statistics (62-08) Random fields; image analysis (62M40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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