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

DOI10.1080/03610928308828592MaRDI QIDQ3319643zbMATH OpenOpenAlexFDO

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

exact factorizationFourier coefficients of log fKolmogorov-Wiener predictorlinear predictoroptimal factorspectral densitytime series

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(10)

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

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