Factorization of moving-average spectral densities by state-space representations and stacking

DOI10.1016/j.jmva.2004.12.003zbMath1077.62074OpenAlexW2072036939MaRDI QIDQ2581834

Yanyan Li

Publication date: 10 January 2006

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2004.12.003

zbMATH Keywords

Spectral factorizationState spaceAlgebraic Riccati equationMoving averageStacking

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Minimal systems representations (93B20) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68)

Related Items (4)

Optimal correction of an indefinite estimated MA spectral density matrix ⋮ Are spectral estimators useful for long-run restrictions in SVARs? ⋮ Forward Moving Average Representations for MA Processes of Finite Order: Multivariate Stationary and Periodically Correlated ⋮ A numerical method for factorizing the rational spectral density matrix

Uses Software

• RICPAC
• Algorithm 432

Cites Work

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