Spectral factorization of nonstationary moving average processes

DOI10.1214/AOS/1176346400MaRDI QIDQ793482zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

complete and unified solutionmatrix extension of ordinary continued fractionsmoving average modelsnonstationary multivariate MA spectral factorization problemtime-dependent coefficients

Mathematics Subject Classification ID

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

Review text

The author gives a complete and unified solution for the general p- variate MA(q) model-building problem, i.e. the problem of obtaining all the possible moving average models with time-dependent coefficients corresponding to a given autocovariance function. The main result relies on a symbolic generalization of the classical factorization property of the characteristic polynomial associated with stationary autocovariance functions, and is obtained by means of a matrix extension of ordinary continued fractions.

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Cited in

(20)

• Model-building problem of periodically correlated m-variate moving average processes
• Régularisation spectrale et propriétés métriques des moyennes mobiles (Spectral regularization and metric properties of moving averages)
• Random continued fractions and inverse Gaussian distribution on a symmetric cone
• A test for second order stationarity of a multivariate time series
• Factorization of moving-average spectral densities by state-space representations and stacking
• Moving Average Representations for Multivariate Stationary Processes
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• On the prediction of multivariate arma processes with a time dependent covariance structure
• 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
• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• scientific article; zbMATH DE number 647779 (Why is no real title available?)
• Spectral Factorization of Periodically Correlated MA(1) Processes
• Periodic autoregressive conditional duration
• On some classes of nonstationary parametric processes
• A conversation with Marc Hallin
• Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• A unified theory for ARMA models with varying coefficients: one solution fits all

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