Convergence rates for inverse Toeplitz matrix forms

DOI10.1016/0047-259X(89)90055-9zbMath0689.62078OpenAlexW2006038472MaRDI QIDQ581984

B. Wahlberg, E. J. Hannan

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(89)90055-9

zbMATH Keywords

identificationmultivariate time serieshigher-order estimatesautoregressive modellingasymptotic variance propertiesfrequency domain expressionsinverse p-dimensional spectral density matricesmultivariate autoregressive spectral density estimatestime serie analysisToeplitz matrix forms

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

System identification with generalized orthonormal basis functions ⋮ DETERMINING THE NUMBER OF TERMS IN A TRIGONOMETRIC REGRESSION ⋮ Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach

Cites Work

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• Prediction of multivariate time series by autoregressive model fitting
• Consistent autoregressive spectral estimates
• Multivariate linear time series models
• Asymptotic properties of black-box identification of transfer functions
• The Estimation of the Prediction Error Variance

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