The Cepstral Model for Multivariate Time Series: The Vector Exponential Model

DOI10.5705/ss.202014.0024zbMath1356.62139arXiv1406.0801OpenAlexW2964086361WikidataQ115479371 ScholiaQ115479371MaRDI QIDQ2960503

Guohui Wu, Tucker S. McElroy, Scott H. Holan

Publication date: 17 February 2017

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.0801

zbMATH Keywords

coherenceBayesian estimationstochastic search variable selectionspectral density matrixautocovariance matrixmoving average coefficientscepstral

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Generalised cepstral models for the spectrum of vector time series ⋮ Casting vector time series: algorithms for forecasting, imputation, and signal extraction

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