The Box-Jenkins methodology for modeling and forecasting from univariate time series models has long been considered a standard to which other forecasting techniques have been compared. To a Bayesian ...
On the Frequency Domain Estimation of the Innovation Variance of a Stationary Univariate Time Series
This is a preview. Log in through your library . Abstract The innovation variance σ2 of a linear stochastic time series model can be estimated using periodogram ordinates. However, since the ...
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