Optimal nonnegative definite approximations of estimated moving average covariance sequences

DOI10.1109/78.134433zbMath0736.62077OpenAlexW2151686256MaRDI QIDQ3986209

Duixian Liu, Randolph L. Moses

Publication date: 27 June 1992

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

Full work available at URL: https://doi.org/10.1109/78.134433

zbMATH Keywords

estimated moving average covariance sequenceslinear minimization problemsoptimal nonnegative definite approximationsweighted Euclidean distance of covariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical optimization and variational techniques (65K10) Probabilistic methods, stochastic differential equations (65C99)

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