Solutions of Yule-Walker equations for singular AR processes

DOI10.1111/J.1467-9892.2010.00711.XMaRDI QIDQ5495698zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 1911755 (Why is no real title available?)
• Generalized linear dynamic factor models: an approach via singular autoregressions
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Lyapunov matrix equations in system stability and control.
• Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences
• Properties of Zero-Free Spectral Matrices

Cited in

(6)

• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Identifiability of structural singular vector autoregressive models
• Bemerkung zur Lösung der Yule-Walker-Gleichungen. (Remarks on the solution of the Yule-Walker equations)
• Zur Lösung der Yule-Walker-Gleichungen. (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

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