A matrix evaluation of the moving-average representation

DOI10.1016/S0165-1765(97)00069-4MaRDI QIDQ1391054zbMATH OpenWikidataFDO

Authors Johan Lyhagen

Publication date 22 July 1998

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

matrix formmoving average representationARFIMA

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• On the rate of convergence of the innovation representation of a moving average process
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• Moving-average representation of autoregressive approximations
• Estimation of parameters of moving average processes

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Fractional differencing

Cited in

(2)

• EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
• Forward moving average representation in multivariate MA(1) processes

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