Factorization of the Covariance Generating Function of a Pure Moving Average Process
From MaRDI portal
Publication:5568794
DOI10.1137/0706001zbMath0176.46401OpenAlexW1973014977MaRDI QIDQ5568794
No author found.
Publication date: 1969
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0706001
Related Items (49)
Sharp filters for short sequences ⋮ A superfast solver for Sylvester's resultant linear systems generated by a stable and an anti-stable polynomial ⋮ Unnamed Item ⋮ Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ Iterative versus noniterative derivation of moving average parameters of ARMA processes ⋮ Computations with infinite Toeplitz matrices and polynomials ⋮ Explicit and asymptotic formulas for \(LDM^ t\) factorization of banded Toeplitz matrices ⋮ A LINEAR ESTIMATION PROCEDURE FOR THE PARAMETERS OF AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ Recursive identification for EIV ARMAX systems ⋮ A survey of spectral factorization methods ⋮ RESULTS ON ESTIMATION AND TESTING FOR A UNIT ROOT IN THE NONSTATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODEL ⋮ LDU factorization results for bi-infinite and semi-infinite scalar and block Toeplitz matrices ⋮ Testing for a unit root in an arima(p,1,0) signal observed with ma(q) noise ⋮ Unnamed Item ⋮ Wiener-Hopf and spectral factorization of real polynomials by Newton's method ⋮ A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION ⋮ Bauer's spectral factorization method for low order multiwavelet filter design ⋮ Hilbert transforms from interpolation data ⋮ Large sample estimation and testing procedures for dynamic equation systems. (Rejoinder) ⋮ Root-finding by expansion with independent constraints ⋮ Unnamed Item ⋮ Improved frequency selective filters ⋮ The Bauer-type factorization of matrix polynomials revisited and extended ⋮ Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis ⋮ Econometric methods of signal extraction ⋮ Univariate polynomials: Nearly optimal algorithms for numerical factorization and root-finding ⋮ THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS ⋮ Spectral factorization using FFTs for large‐scale problems ⋮ New progress in real and complex polynomial root-finding ⋮ Some efficient computational procedures for high order ARMA models ⋮ Efficient implementation of wilson's algorithm for factorizing a self-reciprocal polynomial ⋮ Computing stochastic continuous-time models from ARMA models ⋮ Second-order convergent algorithms for the steady-state Riccati equation† ⋮ Modele a plusieurs aleas pour certaines chroniques ⋮ Implementation of the direct representation for the maximum likelihood estimator of a gaussian moving average process ⋮ On the existence of a class of invertible FIR filters for spectral shaping ⋮ A new class of invertible FIR filters for spectral shaping ⋮ Efficient estimation of models with composite disturbance terms ⋮ Integration of CARMA processes and spot volatility modelling ⋮ An efficient resultant for determining reciprocal zeros in polynomials ⋮ Rational Carathéodory-Fejér approximation on a disk, a circle, and an interval ⋮ Maximum likelihood estimation for arma models in the presence of ARMA errors ⋮ Factorization of moving-average spectral densities by state-space representations and stacking ⋮ Unnamed Item ⋮ Efficient algorithm for matrix spectral factorization ⋮ On Fourier-Toeplitz Methods for Separable Elliptic Problems ⋮ Spectral factorization using the delta operator ⋮ The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models ⋮ Accelerated approximation of the complex roots and factors of a univariate polynomial
This page was built for publication: Factorization of the Covariance Generating Function of a Pure Moving Average Process
