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Further results on Kendall's autoregressive series
Published online by Cambridge University Press: 14 July 2016
Abstract
Theoretical expressions for the cross correlation and cross spectra of the input and output variables in the difference equation Xt=aXt−1 + bXt−2+ Yt are derived. These expressions are compared with estimates of these expectations obtained by employing a Fast Fourier Transform technique on digitally generated series.
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- Copyright © Applied Probability Trust 1975