Asymptotically Equivalent Sequences of Matrices and Multivariate ARMA Processes

DOI10.1109/TIT.2011.2159042MaRDI QIDQ5273496zbMATH OpenFDO

Authors Jesús Gutiérrez-Gutiérrez, Pedro M. Crespo

Publication date 12 July 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TIT.2011.2159042

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(4)

• Invariance principles for semi-stationary sequence of linear processes and applications to ARMA process
• A modified version of the Pisarenko method to estimate the power spectral density of any asymptotically wide sense stationary vector process
• Tensorial products of functional ARMA processes
• Computation of the fundamental limits of data compression for certain nonstationary ARMA vector sources

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