Spectral factorization of nonstationary moving average processes (Q793482): Difference between revisions

The author gives a complete and unified solution for the general p- variate MA(q) model-building problem, i.e. the problem of obtaining all the possible moving average models with time-dependent coefficients corresponding to a given autocovariance function. The main result relies on a symbolic generalization of the classical factorization property of the characteristic polynomial associated with stationary autocovariance functions, and is obtained by means of a matrix extension of ordinary continued fractions.