The intersection of past and future for multivariate stationary processes
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Publication:2790284
DOI10.1090/PROC/12869zbMath1338.60107arXiv1501.00625OpenAlexW2964190519MaRDI QIDQ2790284
Yukio Kasahara, Akihiko Inoue, Mohsen Pourahmadi
Publication date: 3 March 2016
Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.00625
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)
Related Items (5)
Optimal linear interpolation of multiple missing values ⋮ Explicit formulas for the inverses of Toeplitz matrices, with applications ⋮ Representation theorems in finite prediction, with applications ⋮ Closed-form expression for finite predictor coefficients of multivariate ARMA processes ⋮ Rigidity for matrix-valued Hardy functions
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