On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes

DOI10.1214/AOP/1176991602zbMath0658.60067OpenAlexW2023865163MaRDI QIDQ1111234

Abol G. Miamee

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1214/aop/1176991602

zbMATH Keywords

generating functionautoregressive representation for the linear least-squares predictormultivariate stationary stochastic processprediction error matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

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