Spectral factorization of nonstationary moving average processes (Q793482): Difference between revisions
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Revision as of 19:16, 19 March 2024
scientific article
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English | Spectral factorization of nonstationary moving average processes |
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Spectral factorization of nonstationary moving average processes (English)
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1984
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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.
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nonstationary multivariate MA spectral factorization problem
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complete and unified solution
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moving average models
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time-dependent coefficients
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matrix extension of ordinary continued fractions
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