Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis

DOI10.1080/03610928308828592zbMath0535.62076OpenAlexW1983109703MaRDI QIDQ3319643

Mohsen Pourahmadi

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1080/03610928308828592

zbMATH Keywords

time seriesspectral densitylinear predictorexact factorizationoptimal factorKolmogorov-Wiener predictorFourier coefficients of log f

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

Automatic selection of a linear predictor through frequency domain cross-validation ⋮ Covariate‐based cepstral parameterizations for time‐varying spatial error covariances ⋮ On relations between prediction error covariance of univariate and multivariate processes ⋮ Generalised cepstral models for the spectrum of vector time series ⋮ Spectral methods for small sample time series: A complete periodogram approach ⋮ Estimation methods for stationary Gegenbauer processes

Cites Work

• Some recent advances in time series modeling
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• An exponential model for the spectrum of a scalar time series
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