Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes

DOI10.1007/BF02479833zbMath0335.62058OpenAlexW4245071022MaRDI QIDQ1229535

Hirotugu Akaike

Publication date: 1974

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02479833

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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Cites Work

• Autoregressive model fitting for control
• Recursive Evaluation of Padé Approximants for Matrix Sequences
• Maximum likelihood identification of Gaussian autoregressive moving average models
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Block Toeplitz Matrix Inversion
• Algorithms for Triangular Decomposition of Block Hankel and Toeplitz Matrices with Application to Factoring Positive Matrix Polynomials
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