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Extension of covariance selection mathematics

โœ Scribed by GEORGE R. PRICE


Book ID
115246705
Publisher
John Wiley and Sons
Year
1972
Tongue
English
Weight
376 KB
Volume
35
Category
Article
ISSN
0003-4800

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In this paper we consider a three-step procedure for identi"cation of time series, based on covariance extension and model reduction, and we present a complete analysis of its statistical convergence properties. A partial covariance sequence is estimated from statistical data. Then a high-order maxi