On the study of some functions of multivariate ARMA processes

DOI10.1016/0047-259X(88)90159-5zbMath0637.62083MaRDI QIDQ1098529

M. Shelton Peiris

Publication date: 1988

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

zbMATH Keywords

Hilbert spacemultivariate processessum of two independent multivariate ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Large Bayesian VARMAs ⋮ Identification of composite (∑+II) arma models by relatively simpler models ⋮ RANDOM AGGREGATION OF UNIVARIATE AND MULTIVARIATE LINEAR PROCESSES ⋮ Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm

Cites Work

• A note on the time series which is the product of two stationary time series
• A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES
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