An efficient and versatile algorithm for computing the covariance function of an ARMA process

Torsten Söderström, Jan Jezek, Vladimír Kucera. An efficient and versatile algorithm for computing the covariance function of an ARMA process. IEEE Transactions on Signal Processing, 46(6):1591-1600, 1998. [doi]

Authors

Torsten Söderström

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Jan Jezek

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Vladimír Kucera

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