A note on backward prediction for multivariate ARMA processes

DOI10.1007/s40995-017-0207-zzbMath1378.62080OpenAlexW2728531240MaRDI QIDQ1678741

Peng Zhang

Publication date: 20 November 2017

Published in: Iranian Journal of Science and Technology. Transaction A: Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40995-017-0207-z

zbMATH Keywords

predictionspectral densitymultivariate ARMA processes

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
• On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes
• Time series: theory and methods.
• Effective fast algorithms for polynomial spectral factorization
• Forward Moving Average Representations for MA Processes of Finite Order: Multivariate Stationary and Periodically Correlated
• Moving Average Representations for Multivariate Stationary Processes
• Forward Moving Average Representation in Multivariate MA(1) Processes
• Computer Algorithm for Spectral Factorization of Rational Matrices

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