Covariance matrix computation of the state variable of a stationary Gaussian process
- 1 December 1978
- journal article
- Published by Springer Nature in Annals of the Institute of Statistical Mathematics
- Vol. 30 (3), 499-504
- https://doi.org/10.1007/bf02480240
Abstract
No abstract availableKeywords
This publication has 5 references indexed in Scilit:
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- Canonical Correlation Analysis of Time Series and the Use of an Information CriterionPublished by Elsevier ,1976
- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processesAnnals of the Institute of Statistical Mathematics, 1974
- Some new algorithms for recursive estimation in constant, linear, discrete-time systemsIEEE Transactions on Automatic Control, 1974
- Stability, instability and aperiodicity tests for linear discrete systemsAutomatica, 1973