ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES

DOI10.1111/J.1467-9892.1993.TB00147.XzbMATH Open0769.60036OpenAlexW2008972409MaRDI QIDQ5285837FDOQ5285837

Authors: Saïd Nsiri, Roch Roy 

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00147.x

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zbMATH Keywords

spectral densityARMA representationmoving-average modelinvertible ARMA processmultivariate linear stationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

Cites Work

• Time series: theory and methods.
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• On the invertibility of time series models
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• On series representations for linear predictors
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes

Cited In (14)

• Title not available (Why is that?)
• CHECKING STATIONARITY AND INVERTIBILITY IN TIME SERIES MODELS—FINDING THE INVERTIBLE FORM IN THE VECTOR CASE
• Multidimensional Lambert-Euler inversion and vector-multiplicative coalescent processes
• Title not available (Why is that?)
• Dual and inverse ARMA processes and application to time reversibility
• Invertibility conditions of a class of moment matrices and applications
• A Class of Antipersistent Processes
• Title not available (Why is that?)
• On series representations for linear predictors
• Title not available (Why is that?)
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• An innovations algorithm for the prediction of functional linear processes
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Title not available (Why is that?)

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