Exponential Convergence Properties of Autocovariance Matrix Inverses and Latent Vector Prediction Coefficients (Q4021607)
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scientific article; zbMATH DE number 95677
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| English | Exponential Convergence Properties of Autocovariance Matrix Inverses and Latent Vector Prediction Coefficients |
scientific article; zbMATH DE number 95677 |
Statements
Exponential Convergence Properties of Autocovariance Matrix Inverses and Latent Vector Prediction Coefficients (English)
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16 January 1993
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time series
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geometric convergence
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convergence properties
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vector autoregressive moving average model
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causality
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invertibility
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bounded on-diagonal blocks
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exponentially declining off-diagonal blocks
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filter weights
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prediction error autocovariances
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latent-variable prediction problem
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uniform convergence rates
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matrix derivatives
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estimated autocovariance matrix inverses
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latent-variable filter weights
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0.7451457977294922
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0.741081953048706
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0.7362648844718933
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0.7361724972724915
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