An implementation of quadratic order of the algorithm of innovations in series of time
DOI:
https://doi.org/10.59741/agraria.v9i3.501Abstract
This work is about the problem of prognosis for a stationary time series. The main result is the formulation of a quadratic order method to implement the innovations algorithm, which usual coding has cubic order. The proposed procedure combines the Durbin-Levinson algorithm with a new theorem of transformation of representations for a forecast, one in terms of the innovations, and the other one in terms of the original observations.
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