On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes
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Publication:1111234
DOI10.1214/aop/1176991602zbMath0658.60067MaRDI QIDQ1111234
Publication date: 1988
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176991602
generating function; autoregressive representation for the linear least-squares predictor; multivariate stationary stochastic process; prediction error matrix
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
60G25: Prediction theory (aspects of stochastic processes)
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