A note on the time series which is the product of two stationary time series

DOI10.1016/0304-4149(78)90004-2zbMath0387.62074OpenAlexW2061347082MaRDI QIDQ1249917

William E. Wecker

Publication date: 1978

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(78)90004-2

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

On the study of some functions of multivariate ARMA processes ⋮ Identification of composite (∑+II) arma models by relatively simpler models ⋮ On the memory of products of long range dependent time series ⋮ Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors ⋮ A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES ⋮ System identification using kernel-based regularization: new insights on stability and consistency issues ⋮ Parameter estimation for auto-regressive systems with missing observations ⋮ Unnamed Item ⋮ On the product of two harmonizable time series

Cites Work

• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
• On the Exact Variance of Products
• The Variance of the Product of K Random Variables
• On the Exact Covariance of Products of Random Variables
• Formulation of a Nonlinear Predictor
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