An efficient and versatile algorithm for computing the covariance function of an ARMA process

DOI10.1109/78.678473zbMath1028.93031OpenAlexW2166820323MaRDI QIDQ2724228

Vladimír Kučera, Jan Jezek, Torsten Söderström

Publication date: 4 February 2003

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.678473

zbMATH Keywords

robustnesssignal processingcomputationARMA covariance functionpolynomial calculations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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