Identification of composite (∑+II) arma models by relatively simpler models

DOI10.1080/03610928908829951zbMath0696.62352OpenAlexW1984183444MaRDI QIDQ3474144

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Publication date: 1989

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

Full work available at URL: https://doi.org/10.1080/03610928908829951

zbMATH Keywords

Gaussian processautocorrelation functionstationarityARMA modelstransfer function-noise modelwhite-noise process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

• On the study of some functions of multivariate ARMA processes
• Optimal experimental design in econometrics. The time series problem
• A note on the time series which is the product of two stationary time series
• A UNIFIED APPROACH TO THE STUDY OF SUMS, PRODUCTS, TIME-AGGREGATION AND OTHER FUNCTIONS OF ARMA PROCESSES
• Bilinear systems: An appealing class of "nearly linear" systems in theory and applications
• Applied Regression and Analysis of Variance for Stationary Time Series
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