A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
DOI10.1016/S0895-7177(02)00297-2zbMath1031.62077OpenAlexW2095649514MaRDI QIDQ1411024
S. S. Yadavalli, M. Shelton Peiris, Neeta Singh
Publication date: 15 October 2003
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(02)00297-2
Hilbert spaceYule-Walker equationsPredictionNonstationaryRegularity conditionsARIMA processInnovationsMultivariateUniformly boundedVector processesWhite-noise
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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