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A simplified approach to inverting the autocovariance matrix of a general ARMA(p, q) process

Author
LIN, Tsung I1 ; HO, Hsiu J1
[1] Department of Applied Mathematics, National Chung Hsing University, Taichung 402, Taiwan, Province of China
Source

Statistics & probability letters. 2008, Vol 78, Num 1, pp 36-41, 6 p ; ref : 1/4 p

CODEN
SPLTDC
ISSN
0167-7152
Scientific domain
Mathematics
Publisher
Elsevier, Amsterdam
Publication country
Netherlands
Document type
Article
Language
English
Author keyword
Autocorrelation function Autoregressive Gaussian process Inverse matrix Moving average Time dependence
Keyword (fr)
Autocovariance Dépendance du temps Déterminant Fonction autocorrélation Implémentation Matrice inverse Moyenne mobile Méthode statistique Processus ARMA Processus Gauss Processus autorégressif Processus gaussien Théorie probabilité 60G15
Keyword (en)
Autocovariance Time dependence Determinant Autocorrelation function Implementation Inverse matrix Moving average Statistical method Autoregressive moving average processes Gaussian process Autoregressive processes Gaussian processes Probability theory
Keyword (es)
Autocovarianza Dependencia del tiempo Determinante Función autocorrelación Implementación Matriz inversa Promedio móvil Método estadístico Proceso Gauss Teoría probabilidad
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01A General topics

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02A General topics

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
19985038

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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