On the study of some functions of multivariate ARMA processes

DOI10.1016/0047-259X(88)90159-5zbMATH Open0637.62083MaRDI QIDQ1098529FDOQ1098529

Authors Shelton Peiris

Publication date 1988

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

zbMATH Keywords

multivariate processesHilbert spacesum of two independent multivariate ARMA processes

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3714786 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3069465 (Why is no real title available?)
• A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES
• A note on the time series which is the product of two stationary time series

Cited in

(7)

• RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES
• Tensorial products of functional ARMA processes
• Large Bayesian VARMAs
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Identification of composite (∑+II) arma models by relatively simpler models
• scientific article; zbMATH DE number 4039069 (Why is no real title available?)
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm

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