An interpolation algorithm for multivariate ARMA processes

DOI10.1007/BF03263565zbMath1260.62071OpenAlexW2095693600MaRDI QIDQ1758760

Mehrnaz Mohammadpour, Ahmad Reza Soltani

Publication date: 16 November 2012

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03263565

zbMATH Keywords

spectral densitybackward and forward moving average representations

Mathematics Subject Classification ID

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

Uses Software

• itsmr

Cites Work

• Unnamed Item
• Algorithms for linear interpolator and interpolation error for minimal stationary stochastic processes
• Time series: theory and methods.
• Moving Average Representations for Multivariate Stationary Processes
• Forward Moving Average Representation in Multivariate MA(1) Processes
• Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes
• Introduction to Time Series and Forecasting
• On the Problem of the Equivalence of Probability Measures Corresponding to Stationary Gaussian Processes

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