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Browsing by Author "Лобач, И. В."
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Статистический анализ временных рядов, описываемых AFRIMA-моделью в пространстве состояний
Лобач, И. В. (БПИ, 2000)This paper develops a state space modeling for long-range dependent data. It is shown that by using the Kalman filter, the exact likelihood function can be computed recursively in a finite number of steps.2021-08-30