An efficient generalized least squares algorithm for periodic trended regression with autoregressive errors

DOI10.1007/S11075-015-9984-7zbMath1333.65013OpenAlexW2078085012MaRDI QIDQ5962634

Jaechoul Lee, William Negri, Anthony Dini

Publication date: 15 February 2016

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-015-9984-7

zbMATH Keywords

algorithmnumerical examplesdimension reductionbig datageneralized least squares estimatorsmodel with autocorrelated errorsperiodic trended time series regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

Uses Software

• astsa

Cites Work

• Estimation of a linear regression model with stationary ARMA (p,q) errors
• Time series: theory and methods
• The Econometric Analysis of Seasonal Time Series
• Numerical Analysis: A fast fourier transform algorithm for real-valued series
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