Spectral Factorization of Periodically Correlated MA(1) Processes
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Publication:4393824
DOI10.1239/jap/1032192550zbMath0898.62114MaRDI QIDQ4393824
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
spectral factorization; characterization; invertibility; moving average models; periodic models; MA representations; World-Cramer models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M15: Inference from stochastic processes and spectral analysis
40A15: Convergence and divergence of continued fractions
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