Moving Average Representations for Multivariate Stationary Processes

DOI10.1111/j.1467-9892.2006.00503.xzbMath1150.62051MaRDI QIDQ3505307

Ahmad Reza Soltani, Mehrnaz Mohammadpour

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00503.x

zbMATH Keywords

spectral factorization; backward and forward moving average representations

Mathematics Subject Classification ID

62H99: Multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

An interpolation algorithm for multivariate ARMA processes, Forward Moving Average Representation in Multivariate MA(1) Processes, Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes

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