Forward Moving Average Representation in Multivariate MA(1) Processes
From MaRDI portal
Publication:3562444
DOI10.1080/03610920902788095zbMath1188.62273OpenAlexW2012341822MaRDI QIDQ3562444
Mehrnaz Mohammadpour, Ahmad Reza Soltani
Publication date: 21 May 2010
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610920902788095
spectral factorizationmultivariate moving average processesbackward- and forward-moving average representations
Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)
Related Items
A note on backward prediction for multivariate ARMA processes ⋮ An interpolation algorithm for multivariate ARMA processes ⋮ Forward Moving Average Representations for MA Processes of Finite Order: Multivariate Stationary and Periodically Correlated
Cites Work
- Unnamed Item
- Unnamed Item
- The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
- Baxter's inequality and convergence of finite predictors of multivariate stochastic processes
- Moving Average Representations for Multivariate Stationary Processes
- Alternating projections and interpolation of stationary processes
- Hermitian and Nonnegative Definite Solutions of Linear Matrix Equations