Analysis of multivariate arma processes with non-stationary innovations

DOI10.1080/03610929008830352zbMath0728.62094OpenAlexW2131254482MaRDI QIDQ3352337

M. Shelton Peiris

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1080/03610929008830352

zbMATH Keywords

predictiontime seriescovariance matrix functionvector ARMA processesHilbert space approachgeneralization of Yule-Walker equationsIdentification proceduresnonstationary innovations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

A note on the modelling and analysis of vector ARMA processes with nonstationary innovations

Cites Work

• Time series: theory and methods
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• On the prediction of multivariate arma processes with a time dependent covariance structure
• Unnamed Item

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