On the stationarity of multiple autoregressive approximants: theory and algorithms

DOI10.1080/00949658108810496MaRDI QIDQ3936068zbMATH OpenOpenAlexFDO

Authors H. Joseph Newton, Marcello Pagano

Publication date 1981

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658108810496

zbMATH Keywords

predictioncovariancefitting time series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Inference from stochastic processes and spectral analysis (62M15) Stochastic stability in control theory (93E15)

Cites work

• scientific article; zbMATH DE number 3252904 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Autoregressive model fitting for control
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Some recent advances in time series modeling
• The effect of transformations of variables upon their correlation coefficients
• Time Series Regression with Linear Constraints
• When is an altoregressive scheme stationary

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