Forward moving average representation in multivariate MA(1) processes

DOI10.1080/03610920902788095MaRDI QIDQ3562444zbMATH OpenOpenAlexFDO

Authors Mehrnaz Mohammadpour, A. R. 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

zbMATH Keywords

spectral factorizationmultivariate moving average processesbackward- and forward-moving average representations

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• Alternating projections and interpolation of stationary processes
• Baxter's inequality and convergence of finite predictors of multivariate stochastic processes
• Foundations of time series analysis and prediction theory
• Hermitian and Nonnegative Definite Solutions of Linear Matrix Equations
• Moving Average Representations for Multivariate Stationary Processes
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor

Cited in

(5)

• Moving Average Representations for Multivariate Stationary Processes
• An interpolation algorithm for multivariate ARMA processes
• A note on backward prediction for multivariate ARMA processes
• Forward moving average representations for MA processes of finite order: multivariate stationary and periodically correlated
• Asymptotic tests on moving average representation coefficients with an application to innovations on spot and forward exchange rates

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