Factorizing multivariate time series operators

DOI10.1016/0047-259X(81)90111-1zbMath0473.62083OpenAlexW2010306471MaRDI QIDQ1158717

Eivind Stensholt, Dag Tjøstheim

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1016/0047-259x(81)90111-1

zbMATH Keywords

factorization of matrix polynomialsalmost nonstationary

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Economic time series analysis (91B84)

Related Items (2)

Keldysh Chains and Factorizations of Matrix Polynomials ⋮ EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES

Cites Work

• Unnamed Item
• The effect of transformations of variables upon their correlation coefficients
• The Algebraic Theory of Matrix Polynomials
• A canonical analysis of multiple time series
• Multiple Time Series Analysis and the Final Form of Econometric Models
• On the fitting of multivariate processes of the autoregressive-moving average type

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