On the stationarity of multiple autoregressive approximants: theory and algorithms
DOI10.1080/00949658108810496zbMATH Open0478.62076OpenAlexW2063655724MaRDI QIDQ3936068FDOQ3936068
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
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
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- On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
- The effect of transformations of variables upon their correlation coefficients
- Some recent advances in time series modeling
- Autoregressive model fitting for control
- When is an altoregressive scheme stationary
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- Time Series Regression with Linear Constraints
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