Solutions of Yule-Walker equations for singular AR processes

DOI10.1111/j.1467-9892.2010.00711.xzbMath1294.62193OpenAlexW1955426732MaRDI QIDQ5495698

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

zbMATH Keywords

stationary processminimal norm solutionsingular AR process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items

The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case, Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models, Identifiability of structural singular vector autoregressive models

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