On the prediction of multivariate arma processes with a time dependent covariance structure (Q3783389)
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scientific article; zbMATH DE number 4046925
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| English | On the prediction of multivariate arma processes with a time dependent covariance structure |
scientific article; zbMATH DE number 4046925 |
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On the prediction of multivariate arma processes with a time dependent covariance structure (English)
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1988
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time dependent covariance structure
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nonstationary
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multivariate process
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Hilbert space
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time series
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m-variate ARMA model
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time dependent coefficient matrices
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time-dependent variance
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regularity conditions
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second-order solutions
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one sided moving average
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one sided Green's matrices
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prediction
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examples
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0.9151934385299684
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0.8519061803817749
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