Moving Average Representations for Multivariate Stationary Processes

DOI10.1111/J.1467-9892.2006.00503.XMaRDI QIDQ3505307zbMATH OpenOpenAlexFDO

Authors Mehrnaz Mohammadpour, A. R. Soltani

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2006.00503.x

zbMATH Keywords

spectral factorizationbackward and forward moving average representations

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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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
• Computer Algorithm for Spectral Factorization of Rational Matrices
• Effective fast algorithms for polynomial spectral factorization
• Foundations of time series analysis and prediction theory
• On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
• Time series: theory and methods.

Cited in

(7)

• Moving averages for Gaussian simulation in two and three dimensions
• Proper moving average representations and outer functions in two variables
• An interpolation algorithm for multivariate ARMA processes
• A note on backward prediction for multivariate ARMA processes
• Forward moving average representation in multivariate MA(1) processes
• Forward moving average representations for MA processes of finite order: multivariate stationary and periodically correlated
• Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes

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