Matrix polynomials orthogonal on the unit circle and accuracy of autoregressive models

DOI10.1016/0377-0427(95)00130-0zbMath0862.65098OpenAlexW1982035773MaRDI QIDQ1917825

Marc P. Mignolet

Publication date: 25 May 1997

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(95)00130-0

zbMATH Keywords

Fourier coefficientsorthogonal matrix polynomialsautoregressive modelingspectral matrixdiscrete stationary vector random processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• Autoregressive spectral modeling: Difficulties and remedies
• Bauer-type factorization of positive matrices and the theory of matrix polynomials orthogonal on the unit circle
• Orthogonal polynomial matrices on the unit circle
• Matrix orthogonal polynomials on the unit circle

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