Efficient measurement of higher-order statistics of stochastic processes

DOI10.14736/KYB-2018-5-0865zbMath1463.62163OpenAlexW2902759139MaRDI QIDQ3120359

Agnieszka Wielgus, Urszula Libal, Władysław Magiera

Publication date: 1 March 2019

Published in: Kybernetika (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/147531

zbMATH Keywords

covariance matrixhigher-order statistics

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10) Least squares and related methods for stochastic control systems (93E24) Stochastic matrices (15B51) Toeplitz, Cauchy, and related matrices (15B05)

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