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On the correlation matrix of the discrete Fourier transform and the fast solution of large Toeplitz systems for long-memory time series. (English) Zbl 1119.62358


MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
65T50 Numerical methods for discrete and fast Fourier transforms
65C60 Computational problems in statistics (MSC2010)
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