On the prediction of multivariate arma processes with a time dependent covariance structure

DOI10.1080/03610928808829607zbMATH Open0642.62052OpenAlexW2171132441MaRDI QIDQ3783389FDOQ3783389

Authors: Shelton Peiris 

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1080/03610928808829607

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zbMATH Keywords

predictiontime seriesnonstationaryHilbert spaceregularity conditionsmultivariate processexamplesm-variate ARMA modelone sided Green's matricesone sided moving averagesecond-order solutionstime dependent coefficient matricestime dependent covariance structuretime-dependent variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Nonstationary Yule-Walker equations
• AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• On Linear Difference Equations
• Spectral factorization of nonstationary moving average processes
• Some Results on Non Stationary First Order Autoregression

Cited In (15)

• Multivariate stable ARMA processes with time dependent coefficients
• Measures of cross-dependence for bidimensional periodic AR(1) model with \(\alpha \)-stable distribution
• Multivariate contemporaneous ARMA model with hydrological applications
• Spectral factorisation and prediction of multivariate processes with time-dependent rational spectral density matrices
• Bounded solutions for ARMA model with varying coefficients
• Analysis of multivariate arma processes with non-stationary innovations
• Conditional forecasting with a multivariate time series model
• A note on backward prediction for multivariate ARMA processes
• Title not available (Why is that?)
• A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
• Closed-form expression for finite predictor coefficients of multivariate ARMA processes
• Multivariate arma models with generalized autoregressive linear innovation
• On prediction with time dependent arma models
• A simulation study and evaluation of multivariate forecast based control charts applied to ARMA processes
• The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1

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