Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis

DOI10.1080/03610928308828592zbMATH Open0535.62076OpenAlexW1983109703MaRDI QIDQ3319643FDOQ3319643

Authors M. Pourahmadi

Publication date 1983

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928308828592

zbMATH Keywords

time seriesspectral densitylinear predictorexact factorizationoptimal factorKolmogorov-Wiener predictorFourier coefficients of log f

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3191538 (Why is no real title available?)
• scientific article; zbMATH DE number 3195740 (Why is no real title available?)
• scientific article; zbMATH DE number 3054885 (Why is no real title available?)
• An exponential model for the spectrum of a scalar time series
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• Some recent advances in time series modeling

Cited in

(10)

• Automatic selection of a linear predictor through frequency domain cross-validation
• On relations between prediction error covariance of univariate and multivariate processes
• Covariate‐based cepstral parameterizations for time‐varying spatial error covariances
• Generalized autocovariance matrices for multivariate time series
• Recent progress in computability for prediction and Wiener filter theory
• Spectral methods for small sample time series: A complete periodogram approach
• Generalised cepstral models for the spectrum of vector time series
• Factorization of moving-average spectral densities by state-space representations and stacking
• Fourier spectral factor model for prediction of multidimensional signals
• Estimation methods for stationary Gegenbauer processes

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