Estimation of noise correlations in transfer function models

DOI10.1080/03610918108812215zbMath0467.62074OpenAlexW2036267773MaRDI QIDQ3920493

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Publication date: 1981

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918108812215

zbMATH Keywords

fast Fourier transformspectrumtime series regressiontransfer function modelsestimation of noise correlations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• The prediction variance and related statistics for stationary time series

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