Forward Moving Average Representations for MA Processes of Finite Order: Multivariate Stationary and Periodically Correlated

DOI10.1080/03610926.2012.656874zbMath1398.62242OpenAlexW1967850090MaRDI QIDQ2815349

Mehrnaz Mohammadpour, Ahmad Reza Soltani

Publication date: 28 June 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.656874

zbMATH Keywords

spectral factorizationperiodically correlated processesbackward and forward moving average representationsmultivariate moving average processes

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

A note on backward prediction for multivariate ARMA processes

Uses Software

• partsm

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
• Bibliography on cyclostationarity
• Time series: theory and methods.
• Baxter's inequality and convergence of finite predictors of multivariate stochastic processes
• Factorization of moving-average spectral densities by state-space representations and stacking
• 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
• Alternating projections and interpolation of stationary processes
• On backward periodic autoregressive processes

This page was built for publication: Forward Moving Average Representations for MA Processes of Finite Order: Multivariate Stationary and Periodically Correlated