Solutions of Yule-Walker equations for singular AR processes
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Publication:5495698
DOI10.1111/J.1467-9892.2010.00711.XzbMATH Open1294.62193OpenAlexW1955426732MaRDI QIDQ5495698FDOQ5495698
Authors: Weitian Chen, Manfred Deistler, Brian D. O. Anderson, Alexander Filler 
Publication date: 6 August 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/1885/65983
Recommendations
- Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations)
- AR systems and AR processes: the singular case
- Bemerkung zur Lösung der Yule-Walker-Gleichungen. (Remarks on the solution of the Yule-Walker equations)
- scientific article; zbMATH DE number 4115785
- New insights into the high-order Yule-Walker equations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)
Cites Work
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- Lyapunov matrix equations in system stability and control.
- Generalized linear dynamic factor models: an approach via singular autoregressions
- Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
- Properties of Zero-Free Spectral Matrices
- Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences
Cited In (6)
- Zur Lösung der Yule-Walker-Gleichungen. (On the solution of the Yule- Walker equations)
- The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
- Bemerkung zur Lösung der Yule-Walker-Gleichungen. (Remarks on the solution of the Yule-Walker equations)
- AR systems and AR processes: the singular case
- Prediction of singular VARs and an application to generalized dynamic factor models
- Identifiability of structural singular vector autoregressive models
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