Recursive Computation for Block‐Nested Covariance Matrices

DOI10.1111/jtsa.12267zbMath1392.62271OpenAlexW2766183420MaRDI QIDQ4640221

Tucker S. McElroy

Publication date: 16 May 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12267

zbMATH Keywords

spectral factorizationWhittle likelihoodinnovations algorithmLevinson-Durbin algorithmlikelihood evaluation

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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