ESTIMATION OF THE COVARIANCE AND AUTOREGRESSIVE STRUCTURE OF A STATIONARY TIME SERIES,

Abstract

The following problem is presented: given a finite length of record from a discrete parameter normal covariance stationary time series with zero mean X(t), t = 0, = 1, ..., estimate the covariance function and other quantities related to it, like the autoregression coefficients. There are three parts: estimation of the covariance function, estimation of the autoregressive structure, and applications to the sunspot series. (Author)

Document Details

Document Type
Technical Report
Publication Date
Jan 13, 1964
Accession Number
AD0432148

Entities

People

  • M. Casini Schaerf

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Coefficients
  • Computing-Related Activities
  • Covariance
  • Data Science
  • Information Science
  • Interdisciplinary Science
  • Mathematical Analysis
  • Stationary

Fields of Study

  • Mathematics

Readers

  • Approximation Theory.