Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem

DOI10.2307/1427242MaRDI QIDQ3730890zbMATH OpenOpenAlexFDO

Authors Marc Hallin

Publication date 1986

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427242

zbMATH Keywords

adjoint operatorsasymptotically efficientborderline non- invertible modelsdominated solutionsforecastingforecastsGranger-Andersen invertibilityGreen's matricesinvertibilitymatrix difference equationsmatrix generalization of continued fractionsmoving-average processnon-stationary timeseriesspectral factorizationtime-varying moving-average modelsWold-Cramér decomposition

Mathematics Subject Classification ID

Additive difference equations (39A10) General second-order stochastic processes (60G12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(27)

• Asymptotically most powerful rank tests for multivariate randomness against serial dependence
• Model-building problem of periodically correlated m-variate moving average processes
• The exact quasi-likelihood of time-dependent ARMA models
• A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• A note on the properties of some time varying bilinear models.
• Random continued fractions and inverse Gaussian distribution on a symmetric cone
• On the Kullback-Leibler information divergence of locally stationary processes
• Rank-based testing for semiparametric VAR models: a measure transportation approach
• Rank-based optimal tests of the adequacy of an elliptic VARMA model
• A note on state space representations of locally stationary wavelet time series
• Asymptotic linearity of serial and nonserial multivariate signed rank statistics
• On a characterization of optimal predictors for nonstationary ARMA processes
• Data-Adaptive Estimation of Time-Varying Spectral Densities
• On the prediction of multivariate arma processes with a time dependent covariance structure
• CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Estimating Wold matrices and vector moving average processes
• Causality conditions and autocovariance calculations in PVAR models
• On some classes of nonstationary parametric processes
• Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• Automatic locally stationary time series forecasting with application to predicting UK gross value added time series
• Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
• A unified theory for ARMA models with varying coefficients: one solution fits all
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• Time series - information and prediction

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