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

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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)

Cites Work

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• An exponential model for the spectrum of a scalar time series
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
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• Some recent advances in time series modeling

Cited In (10)

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

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