Spectral Factorization of Periodically Correlated MA(1) Processes

DOI10.1239/JAP/1032192550zbMath0898.62114OpenAlexW2074486772MaRDI QIDQ4393824

Mohamed Bentarzi, Marc Hallin

Publication date: 3 November 1998

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1032192550

zbMATH Keywords

spectral factorizationcharacterizationinvertibilitymoving average modelsperiodic modelsMA representationsWorld-Cramer models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Convergence and divergence of continued fractions (40A15)

Related Items (1)

A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes

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