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Estimation of partial correlation matrices using Cholesky decomposition - MaRDI portal

Estimation of partial correlation matrices using Cholesky decomposition

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Publication:4182376

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DOI10.1109/TAC.1979.1102008zbMath0398.93058MaRDI QIDQ4182376

Bradley W. Dickinson

Publication date: 1979

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

Estimation Cholesky Decomposition Multivariate Process Partial Correlation Matrices

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Canonical forms, reductions, classification (15A21)

Related Items (1)

Characterization of the partial autocorrelation function of nonstationary time series.

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