Factorization of moving-average spectral densities by state-space representations and stacking

DOI10.1016/J.JMVA.2004.12.003MaRDI QIDQ2581834zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 10 January 2006

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

Full work available at URL https://doi.org/10.1016/j.jmva.2004.12.003

zbMATH Keywords

Algebraic Riccati equationMoving averageSpectral factorizationStackingState space

Mathematics Subject Classification ID

Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Inference from stochastic processes and spectral analysis (62M15) Minimal systems representations (93B20)

Recommendations

• scientific article; zbMATH DE number 647779
• Spectral factorization of nonstationary moving average processes
• Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis
• A state-space approach to discrete-time spectral factorization
• Factorization of the matrix spectral density and the solution of the problem of the linear filtering of multidimensional stationary random processes
• Spectral factorisation and prediction of multivariate processes with time-dependent rational spectral density matrices
• Rational spectral factorization using state-space methods
• A State-Space Approach to Indefinite Spectral Factorization
• Spectral density estimation for stationary stable processes

Cites work

• A convergence theorem for spectral factorization
• A new numerical solution of<tex>Ẋ = A_{1}X + XA_{2} + D, X(0) = C</tex>
• A Normal form for a Matrix under the Unitary Congruence Group
• A survey of spectral factorization methods
• Algorithm 432 [C2]: Solution of the matrix equation AX + XB = C [F4]
• Bauer-type factorization of positive matrices and the theory of matrix polynomials orthogonal on the unit circle
• Computer Algorithm for Spectral Factorization of Rational Matrices
• Efficient algorithm for matrix spectral factorization
• Elements of multivariate time series analysis.
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• scientific article; zbMATH DE number 3128650 (Why is no real title available?)
• scientific article; zbMATH DE number 65814 (Why is no real title available?)
• scientific article; zbMATH DE number 647779 (Why is no real title available?)
• scientific article; zbMATH DE number 802915 (Why is no real title available?)
• scientific article; zbMATH DE number 3244325 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Lyapunov matrix equations in system stability and control.
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Spectral fractorization of Laurent polynomials
• The Factorization of Matricial Spectral Densities
• The Inverse Autocorrelations of a Time Series and Their Applications
• Time series: theory and methods.

Cited in

(5)

• Optimal correction of an indefinite estimated MA spectral density matrix
• Forward moving average representations for MA processes of finite order: multivariate stationary and periodically correlated
• A numerical method for factorizing the rational spectral density matrix
• Are spectral estimators useful for long-run restrictions in SVARs?
• scientific article; zbMATH DE number 647779 (Why is no real title available?)

Describes a project that uses

Uses Software

• RICPAC
• Algorithm 432

This page was built for publication: Factorization of moving-average spectral densities by state-space representations and stacking

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2581834)