Closed-form expression for finite predictor coefficients of multivariate ARMA processes

DOI10.1016/J.JMVA.2019.104578MaRDI QIDQ2293543zbMATH OpenOpenAlexFDO

Authors Akihiko Inoue

Publication date 5 February 2020

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1805.04820

zbMATH Keywords

linear-time algorithmclosed-form expressionmultivariate ARMA processesfinite predictor coefficients

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Abstract: We derive a closed-form expression for the finite predictor coefficients of multivariate ARMA (autoregressive moving-average) processes. The expression is given in terms of several explicit matrices that are of fixed sizes independent of the number of observations. The significance of the expression is that it provides us with a linear-time algorithm to compute the finite predictor coefficients. In the proof of the expression, a correspondence result between two relevant matrix-valued outer functions plays a key role. We apply the expression to determine the asymptotic behavior of a sum that appears in the autoregressive model fitting and the autoregressive sieve bootstrap. The results are new even for univariate ARMA processes.

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Cited in

(3)

• Explicit formulas for the inverses of Toeplitz matrices, with applications
• Optimal linear interpolation of multiple missing values
• Representation theorems in finite prediction, with applications

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