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Parameter estimation of the stochastic AMR model and its application to the study of several strong earthquakes

✍ Scribed by Feng, Wangli ;Li, Ma ;Vere-Jones, David ;Shi-jun, Chen

Publisher
Springer
Year
2004
Tongue
English
Weight
440 KB
Volume
17
Category
Article
ISSN
1000-9116

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✍ B. David; G. Bastin πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 202 KB

An exact formula of the inverse covariance matrix of an autoregressive stochastic process is obtained using the Gohberg}Semencul explicit inverse of the Toeplitz matrix. This formula is used to build an estimator of the inverse covariance matrix of a stochastic process based on a single realization.