On Noncausal Identification of Nonstationary Multivariate Autoregressive Processes

DOI10.1109/TSP.2018.2885480MaRDI QIDQ4628233zbMATH OpenOpenAlexWikidataFDO

Authors Maciej Niedźwiecki, Marcin Ciołek

Publication date 6 March 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2018.2885480

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cited in

(1)

• Blind identification of noncausal AR models based on higher-order statistics

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