Forward Moving Average Representation in Multivariate MA(1) Processes

DOI10.1080/03610920902788095zbMath1188.62273OpenAlexW2012341822MaRDI QIDQ3562444

Mehrnaz Mohammadpour, Ahmad Reza Soltani

Publication date: 21 May 2010

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

Full work available at URL: https://doi.org/10.1080/03610920902788095

zbMATH Keywords

spectral factorizationmultivariate moving average processesbackward- and forward-moving average representations

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items

A note on backward prediction for multivariate ARMA processes ⋮ An interpolation algorithm for multivariate ARMA processes ⋮ Forward Moving Average Representations for MA Processes of Finite Order: Multivariate Stationary and Periodically Correlated

Cites Work

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