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The modelling of very long stationary gaussian sequences with an arbitrary correlation function - MaRDI portal

The modelling of very long stationary gaussian sequences with an arbitrary correlation function

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Publication:3716271

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DOI10.1016/0041-5553(84)90170-8zbMath0588.65100OpenAlexW1999749915MaRDI QIDQ3716271

A. S. Marchenko, Vasily A. Ogorodnikov

Publication date: 1984

Published in: USSR Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0041-5553(84)90170-8

zbMATH Keywords

numerical stability regularization method stationary Gaussian sequences long samples

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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