Spectral Factorization of Periodically Correlated MA(1) Processes

DOI10.1239/JAP/1032192550MaRDI QIDQ4393824zbMATH OpenOpenAlexFDO

Authors Mohamed Bentarzi, Marc Hallin

Publication date 3 November 1998

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1032192550

zbMATH Keywords

characterizationinvertibilityMA representationsmoving average modelsperiodic modelsspectral factorizationWorld-Cramer models

Mathematics Subject Classification ID

Convergence and divergence of continued fractions (40A15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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(4)

• Spectral factorization of linear periodic systems with application to the optimal prediction of periodic ARMA models
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• Spectral factorization of nonstationary moving average processes

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