Casting vector time series: algorithms for forecasting, imputation, and signal extraction
Work
Year: 2022
Type: article
Abstract: Recursive algorithms, based upon the nested structure of Toeplitz covariance matrices arising from stationary processes, are presented for the efficient computation of multi-step ahead forecast error ... more
Source: Electronic Journal of Statistics
Author Tucker McElroy
Institution United States Census Bureau
Cites: 28
Cited by: 1
Related to: 10
FWCI: 0.256
Citation percentile (by year/subfield): 45.88
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: gold
APC paid (est): $675