Some empirical investigations of the autocorrelation function extrapolation

DOI10.1080/09720529.1998.10697874zbMath0924.62091OpenAlexW2042332556MaRDI QIDQ4239723

Nezameddin Faghih

Publication date: 9 November 1999

Published in: Journal of Discrete Mathematical Sciences and Cryptography (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720529.1998.10697874

zbMATH Keywords

truncation pointmaximum determinant methodautocorrelation function extrapolation

Mathematics Subject Classification ID

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

Cites Work

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