Spectral factorization of nonstationary moving average processes

DOI10.1214/AOS/1176346400zbMATH Open0538.62076OpenAlexW1995260383MaRDI QIDQ793482FDOQ793482

Authors: Marc Hallin 

Publication date: 1984

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346400

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zbMATH Keywords

time-dependent coefficientscomplete and unified solutionmatrix extension of ordinary continued fractionsmoving average modelsnonstationary multivariate MA spectral factorization problem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12)

Cited In (16)

• Moving Average Representations for Multivariate Stationary Processes
• Model-building problem of periodically correlated \(m\)-variate moving average processes
• On some classes of nonstationary parametric processes
• Régularisation spectrale et propriétés métriques des moyennes mobiles (Spectral regularization and metric properties of moving averages)
• Periodic autoregressive conditional duration
• State estimation for a class of singular systems
• Spectral factorisation and prediction of multivariate processes with time-dependent rational spectral density matrices
• CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY
• A conversation with Marc Hallin
• Title not available (Why is that?)
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• Random continued fractions and inverse Gaussian distribution on a symmetric cone
• On the prediction of multivariate arma processes with a time dependent covariance structure
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Factorization of moving-average spectral densities by state-space representations and stacking
• A test for second order stationarity of a multivariate time series

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