Exponential Convergence Properties of Autocovariance Matrix Inverses and Latent Vector Prediction Coefficients

DOI10.1137/0613064zbMATH Open0754.62072OpenAlexW2076550042MaRDI QIDQ4021607FDOQ4021607

Authors: John L. Eltinge 

Publication date: 16 January 1993

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0613064

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zbMATH Keywords

time seriescausalityinvertibilitygeometric convergenceconvergence propertiesuniform convergence ratesmatrix derivativesvector autoregressive moving average modelbounded on-diagonal blocksestimated autocovariance matrix inversesexponentially declining off-diagonal blocksfilter weightslatent-variable filter weightslatent-variable prediction problemprediction error autocovariances

Mathematics Subject Classification ID

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

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