ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES

DOI10.1111/J.1467-9892.1993.TB00147.XMaRDI QIDQ5285837zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

spectral densityARMA representationmoving-average modelinvertible ARMA processmultivariate linear stationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
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• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
• On series representations for linear predictors
• On the invertibility of time series models
• Time series: theory and methods.

Cited in

(14)

• scientific article; zbMATH DE number 2199142 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 844502 (Why is no real title available?)
• 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
• On series representations for linear predictors
• scientific article; zbMATH DE number 4115785 (Why is no real title available?)
• scientific article; zbMATH DE number 4184814 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 4076398 (Why is no real title available?)

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