The Numerical Solution of a Nonlinear System Arising in Time Series Analysis

DOI10.1137/0906027zbMath0561.65098OpenAlexW2041785663MaRDI QIDQ5186699

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Publication date: 1985

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0906027

zbMATH Keywords

Newton's methodtime series analysisidentification of parametersgenerating function factorization method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical computation of solutions to systems of equations (65H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Analysis of noisy signals ⋮ Properties of the transfer functions of compartmental models. II

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