Author:
Hardin Jay C.,Brown Thomas J.
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability