Generalised cepstral models for the spectrum of vector time series

DOI10.1214/19-EJS1672MaRDI QIDQ2293719zbMATH OpenOpenAlexFDO

Authors Maddalena Cavicchioli

Publication date 5 February 2020

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ejs/1580202032

zbMATH Keywords

Box-Cox linkgeneralised spectrum modelsspectral density matrixspectral estimationstationary vector stochastic processesWhittle likelihoodWold coefficients

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to economics (62P20)

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Cited in

(4)

• The Cepstral Model for Multivariate Time Series: The Vector Exponential Model
• ON VECTOR AUTOCORRELATIONS AND GENERALIZED SECOND-ORDER FUNCTIONS FOR TIME SERIES
• scientific article; zbMATH DE number 1069603 (Why is no real title available?)
• Generalized autocovariance matrices for multivariate time series

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