A numerical method for factorizing the rational spectral density matrix

DOI10.1111/J.1467-9892.2010.00658.XMaRDI QIDQ3103179zbMATH OpenOpenAlexFDO

Authors Yuzo Hosoya, Taro Takimoto

Publication date 26 November 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2010.00658.x

zbMATH Keywords

causalitystationary processautoregressive-moving average representationone-step ahead predictionrational spectrumspectral density matrix factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Direct numerical methods for linear systems and matrix inversion (65F05) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

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Cited in

(5)

• Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis
• Optimal correction of an indefinite estimated MA spectral density matrix
• scientific article; zbMATH DE number 647779 (Why is no real title available?)
• Stable spectral factorization with applications to the estimation of time series models
• A New Procedure for Stochastic Realization of Spectral Density Matrices

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